NO.PZ2020010801000007
问题如下:
The return on an optimally hedged portfolio is independent of the return of the hedging instrument. True or false?
解释:
False. The optimally hedged portfolio is uncorrelated with the return on the hedge. It is not necessarily independent. It would be independent if the returns were jointly normally distributed.
hedge portfolio 的return不是通过线性回归方程来求的吗?而其中的一个部分不就是hedge return。 那为什么会说没有线性关系呢?
另外independent 部分也是没看懂