NO.PZ202401170100001006
问题如下：
The specialist hedge fund strategy that Mukilteo plans to recommend is most likely选项：
A.cross-asset volatility trading between the US and Japanese markets. B.selling equity volatility and collecting the volatility risk premium. C.buying longer-dated out-of-the-money options on VIX index futures解释：
C is correct. Mukilteo needs to recommend a specialist hedge fund strategy that
can help PWPF maintain a high Sharpe ratio even in a crisis when equity markets fall. Buying longer-dated out-of-the-money options on VIX index futures
is a long equity volatility position that works as a protective hedge, particularly
in an equity market crisis when volatility spikes and equity prices fall. A long
volatility strategy is a useful potential diversifier for long equity investments
(albeit at the cost of the option premium paid by the volatility buyer). Because
equity volatility is approximately 80% negatively correlated with equity market
returns, a long position in equity volatility can substantially reduce the portfolio’s
standard deviation, which would serve to increase its Sharpe ratio. Longer-dated
options will have more absolute exposure to volatility levels (i.e., vega exposure)
than shorter-dated options, and out-of-the-money options will typically trade at
higher implied volatility levels than at-the-money options.
请问这个题目是啥意思？为啥选C。为啥不选b，哪里的考点
