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格格蔡斯 · 2023年08月29日

decision price

  1. CFA III
  2. Trading&Performance

* 问题详情，请 查看题干

NO.PZ202110280100000104

问题如下：

The implementation shortfall, in basis points (bps), for the sell order of West Commerce shares is closest to:

选项：

A.139. B.198. C.206.

解释：

Execution cost = [(–6,000 × 26.80) + (–3,000 × 26.30)] – (–9,000 × 27.10) = 4,200.

Opportunity cost = [–10,000 – (–9,000)] × (26.00 – 27.10) = 1,100.

Fees = 9,000 × 0.03 = 270.

So, the implementation shortfall ($) is calculated as

Implementation shortfall ($) = 4,200 + 1,100 + 270 = 5,570.

Finally, the implementation shortfall (bps) is calculated as

decision price如何确定？不是有个limit price 26.2吗？麻烦老师帮忙解答。

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吴昊_品职助教 · 2023年08月29日

嗨，从没放弃的小努力你好：


首先，无论是decision price还是arrival price都是市场价格。decision price是起心动念时的市场价格，而非自己设定的价格（limit price是他自己设定的）。对应题干，27.1是他起心动念准备交易时的市场价格，所以27.1对应的是decision price。



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努力的时光都是限量版，加油！

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