NO.PZ2023091901000062
问题如下:
Portfolio A has two risk factors. The beta of risk factor 1 was 0.60,
and the beta of risk factor 2 was 0.30. Bob, the portfolio manager, wants to
hedge all of these risk factors but doesn't want to sell the portfolio. Which
of the following operations is expected to achieve the results?
选项:
A.buy a hedge portfolio: the first factor accounts for 60%
of the portfolio, the second factor accounts for 30% of the portfolio, and the
risk-free assets account for 10%
Short a hedge portfolio: the first factor accounts for
60% of the portfolio, the second factor accounts for 30% of the portfolio, and
the risk-free assets account for 10%
Short a hedge portfolio: the first factor accounts for
30% of the portfolio, the second factor accounts for 60% of the portfolio, and
the risk-free assets account for 10%
Buy a hedge portfolio: the first factor accounts for 30%
of the portfolio, the second factor accounts for 60% of the portfolio, and the
risk-free assets account for 10%
解释:
By hedging a portfolio with short position, an
investor will offset the factor risk of the original portfolio. In this case, exposures
of 0.60 and 0.30 are offset by short positions in the hedged portfolio that
also have exposures of 0.60 and 0.30.
为什么beta = 0.6,就应该short 60%的factor 1 而不是30%?