NO.PZ2022123002000026
问题如下：
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.
The
most appropriate hedging strategy for the 2015 positions, in keeping with Testa’s
wishes, is based on a:
选项：
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
解释：
Correct Answer: A
A direct hedge on
each currency is the most appropriate strategy for the long positions in the
Australian and New Zealand dollar. The high correlation between the currencies
does not help here because the investor will be using forward contracts to sell
both of these currencies. 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.
老师好，请问C答案minimum-variance hedge of the two currencies in the portfolio为何不能选呢？
