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wukefu · 2024年07月04日

weight怎么计算的

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NO.PZ202208100100000501

问题如下:

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.

B.

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.

C.

increased because of changes in the domestic currency value of foreign asset holdings.

解释:

Solution

C is correct. 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 )+ w2(1 + RFC,EUR )(1 + RFX,EUR ) – 1

= 0.659(86,000,000/83,400,000)(4.1025/3.8729) + 0.341(51,000,000/55,000,000)(3.5142/3.0359)

= 0.659(1.0312)(1.0592) + 0.341(0.9273)(1.1575)

= 0.659(1.0923) + 0.341(1.0734)

= 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.

中文解析:

在本题中本币为BRL,由上面的计算可知本币的收益RDC0.0858,是大于0的,因此首先判断the domestic currency value是增加了的。然后根据计算过程可知:外币英镑资产和外币欧元资产的收益率都是大于1的(分别是1.09231.0734),因此可以知道这两种资产都会使得本币资产增加。

题目中的w1和w2 的权重是怎么计算

1 个答案
已采纳答案

pzqa27 · 2024年07月05日

嗨,爱思考的PZer你好:



我们要将两种资产统一到一个货币上来计算权重,


那么a1 = 834,000,000 * 3.8729, a2 = 55,000,000 *3.0359


这样就都统一到BRL上,w1=a1/(a1+a2), w2=a2/(a1+a2)


w1 = 322,999,860/489,974,360 = 0.659,


w2 = 166,974,500/489,974,360 = 0.341

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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