NO.PZ2023040601000039
问题如下：
Thompson frequently reviews Applegate’s strategies to identify those with greater- than- expected tail risk. Doing so helps him understand potential capital allocation requirements for meeting tail risk losses. He is asked to review the following three newly proposed fund strategies and to assess potential tail risk and capital requirements:
- Strategy 1: Long–short equity fund targeting an equity market beta of 0.2 based on fundamental long and short equity research
- Strategy 2: Long-only option strategy that uses technical analysis and momentum to trade call and put options on a short-term basis
- Strategy 3: Alternative income strategy focused on long credit positions combined with selling insurance and writing options to generate premium income
选项：
A.Strategy 1
Strategy 2
Strategy 3
解释：
An alternative income strategy focused on long credit positions combined with selling insurance and writing options to generate premium income would have greater-than-expected tail risk because of the writing of insurance and options. A significant unexpected outcome in these strategies could result in potential capital requirements.
A is incorrect. A long–short equity fund targeting an equity market beta of 0.2 is unlikely to require capital even in a tail risk event.
B is incorrect. A long-only option strategy may experience significant loss of value, but because it involves buying and then selling options, it does not involve the same tail risk as a short option strategy.
A为什么不选，如果有short不是亏到没边么，卖保险顶多就是亏掉标的物，是可控的风险
