NO.PZ202208100100000505
问题如下：
Based on the information provided in Exhibit 3, the most appropriate risk neutral strategy is for FB to:
选项：
A.over-hedge AUD and not hedge CHF.
under-hedge AUD and over-hedge CHF.
under-hedge CHF and not hedge AUD.
解释：
Solution
A is correct. Because of equity investments in Australia and Switzerland, FB has long currency exposure to AUD and CHF. The appropriate risk-neutral strategy is to over-hedge (hedge ratio > 1) AUD and not hedge CHF. The AUD is selling at a forward premium of 2.27%, which means that the expected roll yield for a short hedge in AUD is 2.27%. Furthermore, the AUD is expected to depreciate by 3.28%, which means the short position in the AUD gains 3.28%. Thus, a short hedge of the AUD is appropriate. The CHF is at a forward discount of 2.64%, which means that the expected roll yield for a short hedge of CHF is –2.64%. The CHF is expected to appreciate 1.32%, which means that a short position in CHF would lose 1.32%. Thus, in this instance it would not be appropriate to hedge the CHF.
B is incorrect. The appropriate risk-neutral strategy is to over-hedge (hedge ratio > 1) AUD and not hedge CHF.
C is incorrect. The appropriate risk-neutral strategy is to over-hedge (hedge ratio > 1) AUD and not hedge CHF.
中文解析：
由于持有的是AUD和CHF的外币资产，因此是担心外币会贬值的。
表格中的“Six-Month Forward Rate”是如果使用远期合约对冲可以锁定的汇率；
“Six-Month Forecast Spot Rate”是如果不对冲，预计在外币资产投资期结束的时候将外币转成本币可以使用的汇率。
如果Six-Month Forward Rate< Six-Month
Forecast Spot Rate,说明签订远期合约会让我们将来以较低的汇率转成本币，对我们是不利的，此时应该降低对冲比率，即under hedge，或者不hedge。
如果Six-Month Forward Rate>Six-Month
Forecast Spot Rate,说明签订远期合约会让我们将来以较高的汇率转成本币，对我们是有利的，此时应该提高对冲比率，即over hedge。
因此本题应该选择A。
解析是利用Six-Month Forward Rate和Six-Month Forecast Spot Rate对比，都在6月后的时间点比。
如果用roll yield 的公式解题呢？对比Six-Month Forward Rate和current SPOT RATE，因为是short forward, 如果Six-Month Forward Rate大于current SPOT RATE， roll yield 大于0，要hedge.这样也能得到同样的答案。
