NO.PZ2018113001000069
问题如下:
Which of the following statements is not true regarding the currency management?
选项:
A.
The more bond exposure are held in a
foreign-currency portfolio, the less hedging is needed
B.
The shorter the investment horizon, the more
hedges are needed
C.
The more risk averse investors are, the more
they need to hedge
解释:
A is correct
中文解析:
本题考察的是需要更多的进行hedge的几种情况:
当投资期限越短,投资者的风险厌恶程度越高,以及投资的债券比重更高的时候,都需要更多的进行对冲。因此只有A选项的表述是错误的,所以选A。
这是因为相比于股票,债券和汇率的变动是更加紧密的。也就是R_FC 和R_FX的相关性ρ更高,相关性更高意味着分散化效果更差,因此更加需要hedge哈
债券和Rfc的关系是?债券是指投资的外国资产吗,所以影响Rfc?