In 2015, Testa informed Fournier that he had taken large positions in both a New Zealand firm and an Australian packaging firm. The positions were roughly equal in size in terms of the US dollar. Fournier informed Testa that the correlation between USD/AUD and USD/NZD was approximately 0.85. Given the size of the positions, Testa indicated that he wished to minimize any foreign exchange exposure.
Question
The most appropriate hedging strategy for the 2015 positions, in keeping with Testa’s wishes, is based on a:
- direct hedge on each currency separately.
- cross-hedge of the two currencies in the portfolio.
- minimum-variance hedge of the two currencies in the portfolio.
The high correlation between the currencies could have been exploited with a cross-hedge or a minimum-variance hedge if one of the foreign assets was held long and the other short.
请问解答中的这句话怎么理解？为什么澳元和新元持有一个做多一个做空的时候，更适合用cross hedge或mvhr？可以讲解一下并举例吗？我看到前面有同学问过，但是解答只是把答案翻译了一遍，希望老师能解释一下而不是翻译。谢谢！！
