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ditto · 2024年11月09日

课堂上讲的T0时刻是没有现金流的

NO.PZ2016031201000018

问题如下:

An arbitrage transaction generates a net inflow of funds:

选项:

A.

throughout the holding period.

B.

at the end of the holding period.

C.

at the start of the holding period.

解释:

C is correct.

Arbitrage is a type of transaction undertaken when two assets or portfolios produce identical results but sell for different prices. A trader buys the asset or portfolio with the lower price and sells the asset or portfolio with the higher price, generating a net inflow of funds at the start of the holding period. Because the two assets or portfolios produce identical results, a long position in one and short position in the other means that at the end of the holding period, the payoffs offset. Therefore, there is no money gained or lost at the end of the holding period, so there is no risk.

中文解析:

套利是对产生同样收益但价格不同的单个资产采取低买高卖的行为。

这一行为发生在持有期期初,对投资者产生了正的持有期收益。

在投资期末,因为两个资产收益相同,可以相会抵消,所以不存在风险。

套利有Forward 那得在未来交割才能套呀,为什么T=0就能套利了呢。

倒回去看基础班老师花的图也是CF=0 ,只是期初有个S0的价值。

请问是概念哪里混淆了吗

1 个答案

李坏_品职助教 · 2024年11月09日

嗨,从没放弃的小努力你好:


这个题目是CFA官方给的题,他问的是arbitrage transaction,不是咱们课上讲的那种futures或者forward的期末收取现金流的套利.


arbitrage transaction指的是:

按照基础班讲义的定义,CFA协会对arbitrage transaction的定义是,两种资产在未来具有相同的现金流,那么其0时刻的价格也必须相同。如果出现0时刻价格一高一低,那么立刻在0时刻卖出高价资产,买入低价资产,0时刻即有价差收入。

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