NO.PZ201601050100000104
问题如下：
Kamala Gupta, a currency management consultant, is hired to evaluate the performance of two portfolios. Portfolio A and Portfolio B are managed in the United States and performance is measured in terms of the US dollar (USD). Portfolio A consists of British pound (GBP) denominated bonds and Portfolio B holds euro (EUR) denominated bonds.
Gupta calculates a 19.5% domestic-currency return for Portfolio A and 0% domestic-currency return for Portfolio B.
4. Gupta tells the fund manager of Portfolio B:
"We need to seriously consider the potential costs associated with favorable currency rate movements, given that a 100% hedge-ratio strategy is being applied to this portfolio."
Explain Guptas statement in light of the strategic choices in currency management available to the portfolio manager.
选项： 解释： Optimal hedging decisions require balancing
the benefits of hedging against the costs of hedging. Hedging costs come mainly
in two forms: trading costs and opportunity costs. Gupta is referring to the
opportunity cost of the 100% hedge strategy. The opportunity cost of the 100%
hedge strategy for Portfolio B is the forgone opportunity of benefiting from
favorable currency rate movements. Gupta is implying that accepting some
currency risk has the potential to enhance portfolio return. A complete hedge
eliminates this possibility. 中文解析： 对冲成本包括交易成本和机会成本，本题考察的是机会成本。 对冲成本主要有两种形式:交易成本和机会成本。机会成本指的是100%对冲策略下，也放弃了的汇率朝有利方向变动时，可以获得收益的机会。
If we do a 100% hedge-ratio strategy, the opportunity cost of potential increment of the exchange rate should be considered. So for any favorable currency rate movements, we can do discretionary hedging and active currency management in order to benefit from the favorable currency rate movements.
