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Eric · 2023年07月24日

题干

NO.PZ2016031201000018

问题如下:

An arbitrage transaction generates a net inflow of funds:

选项:

A.

throughout the holding period.

B.

at the end of the holding period.

C.

at the start of the holding period.

解释:

C is correct.

Arbitrage is a type of transaction undertaken when two assets or portfolios produce identical results but sell for different prices. A trader buys the asset or portfolio with the lower price and sells the asset or portfolio with the higher price, generating a net inflow of funds at the start of the holding period. Because the two assets or portfolios produce identical results, a long position in one and short position in the other means that at the end of the holding period, the payoffs offset. Therefore, there is no money gained or lost at the end of the holding period, so there is no risk.

中文解析:

套利是对产生同样收益但价格不同的但个资产采取低买高卖的行为。

这一行为发生在持有期期初,对投资者产生了正的持有期收益。

在投资期末,因为两个资产收益相同,可以相会抵消,所以不存在风险。

没太看懂题干,请翻译一下

另外,获利不应该是在期末交割后吗?

1 个答案

Lucky_品职助教 · 2023年07月25日

嗨,爱思考的PZer你好:


这道题的意思是,套利是两种资产或投资组合产生相同结果但以不同价格出售时进行的一种交易。 交易者以较低的价格购买资产或投资组合,以较高的价格出售资产或投资组合,所以在持有期开始时产生净资金流入。

由于这两个资产或投资组合产生相同的结果,一方的多头头寸和另一头的空头头寸意味着在持有期间结束时,收益抵消。 因此,在持有期结束时没有收益或损失的资金,因此没有风险。

获利的实现是在期末交割后,但我们肯定是在期初预计期末会获利,才会去做这个交易。

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