NO.PZ2022123002000005
问题如下：
Marina Campos is a senior
portfolio manager for Sabanai Investimentos in Sao Paulo, Brazil. The first
client is Gilvan Araujo Dias, a high-net-worth client who has given Sabanai
responsibility for managing his foreign investments, which consist of equity
investments in the United Kingdom and Germany. His other assets consist of
equity and corporate bond investments in Brazil. Exhibit 1 summarizes information
on Dias's foreign portfolio holdings and exchange rates.
Based on the
information provided in Exhibit 1, the domestic currency value of Dias's
foreign investments most likely:
选项：
A.decreased because of changes in the domestic currency
value of foreign asset holdings
increased because of changes in the domestic currency
value of UK assets but decreased because of changes in the domestic currency
value of German assets
increased because of changes in the domestic currency
value of foreign asset holdings
解释：
Correct Answer: C
The domestic
currency value of Dias's portfolio of foreign assets most likely increased
because of changes in the domestic currency value of foreign asset holdings.
The domestic currency return of the portfolio of foreign assets is:
RDC = w1[(1
+ RFC,GBP)(1 + RFX,GBP) -1]+ w2[(1 + RFC,EUR)(1
+ RFX,EUR) – 1]
= 0.659[(86,000,000/83,400,000)(4.1025/3.8729)-1]
+0.341[(51,000,000/55,000,000)(3.5142/3.0359)-1]=
0.659(0.0923) + 0.341(0.0734)= 0.0858
The calculations
show that the domestic currency value of the portfolio of foreign assets
increased because of changes (i.e., increases) in the domestic currency value
of UK and German equity investments. Note
w1 =
322,999,860/489,974,360 = 0.659 and w2 = 166,974,500/489,974,360 =
0.341
A is incorrect.
The domestic currency value of the portfolio increased, and the domestic currency
value of UK and German investments increased.
B is incorrect.
The domestic currency value of the portfolio increased because of increases in
the domestic currency value of UK and German investments. It is the foreign currency
value of German equity investments that declined.
RDC = w1[(1 + RFC,GBP)(1 + RFX,GBP) -1]+ w2[(1 + RFC,EUR)(1 + RFX,EUR) – 1]
= 0.659[(86,000,000/83,400,000)(4.1025/3.8729)-1]
+0.341[(51,000,000/55,000,000)(3.5142/3.0359)-1]= 0.659(0.0923) + 0.341(0.0734)= 0.0858
The calculations show that the domestic currency value of the portfolio of foreign assets increased because of changes (i.e., increases) in the domestic currency value of UK and German equity investments. 【1.怎么从Rdc=0.0858推导出这个结论的？2.把不同时间所有外币都统一成巴西币，然后进行对比，不是一眼就能看出结果了么，为什么还要那么复杂的计算】
