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miaolu27 · 2020年01月24日

问一道题：NO.PZ2018091705000064

  1. CFA III
  2. 个人IPS

问题如下：

Hill refers his friend, Richard Morrison, the former CEO of Masury Bridge and Iron (MBI), to Keller to discuss his wealth goals.

Keller realizes that the Morrisons’ decision making is influenced by psychological considerations and decides to use a goal-based planning approach. Keller constructs the table below to simplify the discussion at their next scheduled meeting.

Table：Morrison Family Wealth Distribution

Keller and Richard Morrison discuss several hedging techniques and Morrison makes the following statement:

"I like the strategy that allows me to lock-in a floor price and retain unlimited upside potential."

Identify and discuss the hedging tool that Morrison is most likely referring to in the above statement.

选项：

解释：

The hedging tool Morrison is most likely describing is a protective put position. The strategy is the combination of a long stock position and a long put position, which would provide downside protection (lock in a floor price) with unlimited upside participation. Morrison would buy put options equivalent to the number of shares to be hedged. The put options would have a strike price that is either at or, more typically, slightly below the current stock price. Morrison would pay an amount, referred to as the option premium, to acquire the puts. Conceptually, this is similar to the payment of an insurance premium. If the price of MBI falls below the strike price during the term of the option, the put option could be exercised at the strike price, providing downside protection. If the share price is above the strike price at maturity, Morrison would let the option expire and retain the upside.

A zero-premium collar would not accomplish Morrison’s goal to lock in a floor price and retain unlimited upside potential. A cashless collar is established by buying puts and selling calls on the shares to be hedged. The long put protects the owner of the shares from any loss below the strike price of the puts. However, the investor forfeits some of the upside potential of the underlying stock. Like a cashless collar, a prepaid variable forward (PVF) would not accomplish Morrison’s goal. A PVF combines the economics of a collar and borrowing against the underlying stock within a single instrument.

老师你好，为什么不可以只回答protective put的部分呢？另外，有点没看懂答案后半段。

感谢解答~

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1 个答案

包包_品职助教 · 2020年02月02日

嗨，从没放弃的小努力你好：


其实只回答protective put的部分就可以了。答案之所以写那么多是为了帮助我们理解，咱们教材上的课后题的答案即包括了答案也包括了对答案的解释。

后半部分解释了collar 为什么不符合要求，相当于collar 是一个干扰选项。zero-premium collar指的是在long stock 的基础上再short call 和long put，而call 和put的期权费是相同的，相当于收到的期权费和支出的期权费相等。因此是zero-premium collar。

collar 的收益和损失都是有效的，意味着股价上涨的收益被限制了（forfeits some of the upside potential of the underlying stock），所以不能满足Morrision的要求："I like the strategy that allows me to lock-in a floor price and retain unlimited upside potential."同样的，PVF和collar的收益是相似的，因此PVF也不满足要求


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


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NO.PZ2018091705000064 Hill refers his frien RicharMorrison, the former CEO of Masury Brie anIron (MBI), to Keller to scuss his wealth goals. Keller realizes ththe Morrisons’ cision making is influencepsychologicconsirations ancis to use a goal-baseplanning approach. Keller constructs the table below to simplify the scussion their next schelemeeting. TableMorrison Family Wealth stribution Keller anRicharMorrison scuss severheing techniques anMorrison makes the following statement: \"I like the strategy thallows me to lock-in a floor prianretain unlimiteupsi potential.\" Intify anscuss the heing tool thMorrison is most likely referring to in the above statement. The heing tool Morrison is most likely scribing is a protective put position. The strategy is the combination of a long stoposition ana long put position, whiwoulprovi wnsi protection (loin a floor price) with unlimiteupsi participation. Morrison woulbuy put options equivalent to the number of shares to hee The put options woulhave a strike prithis either or, more typically, slightly below the current stoprice. Morrison woulpamount, referreto the option premium, to acquire the puts. Conceptually, this is similto the payment of insuranpremium. If the priof Mfalls below the strike priring the term of the option, the put option coulexercisethe strike price, proving wnsi protection. If the share priis above the strike primaturity, Morrison woullet the option expire anretain the upsi. A zero-premium collwoulnot accomplish Morrison’s goto loin a floor prianretain unlimiteupsi potential. A cashless collis establishebuying puts anselling calls on the shares to hee The long put protects the owner of the shares from any loss below the strike priof the puts. However, the investor forfeits some of the upsi potentiof the unrlying stock. Like a cashless collar, a prepaivariable forwar(PVF) woulnot accomplish Morrison’s goal. A PVF combines the economiof a collanborrowing against the unrlying stowithin a single instrument. 为什么答案里面还有提到cashless coll和 prepaivariable forwar呢

2021-03-19 17:12 1 · 回答

The heing tool Morrison is most likely scribing is a protective put position. The strategy is the combination of a long stoposition ana long put position, whiwoulprovi wnsi protection (loin a floor price) with unlimiteupsi participation. Morrison woulbuy put options equivalent to the number of shares to hee The put options woulhave a strike prithis either or, more typically, slightly below the current stoprice. Morrison woulpamount, referreto the option premium, to acquire the puts. Conceptually, this is similto the payment of insuranpremium. If the priof Mfalls below the strike priring the term of the option, the put option coulexercisethe strike price, proving wnsi protection. If the share priis above the strike primaturity, Morrison woullet the option expire anretain the upsi. A zero-premium collwoulnot accomplish Morrison’s goto loin a floor prianretain unlimiteupsi potential. A cashless collis establishebuying puts anselling calls on the shares to hee The long put protects the owner of the shares from any loss below the strike priof the puts. However, the investor forfeits some of the upsi potentiof the unrlying stock. Like a cashless collar, a prepaivariable forwar(PVF) woulnot accomplish Morrison’s goal. A PVF combines the economiof a collanborrowing against the unrlying stowithin a single instrument. 老师，您好！这里pvf是指咋样的一种forwr约呢，没看懂

2020-03-31 09:05 1 · 回答

Hill refers his frien RicharMorrison, the former CEO of Masury Brie anIron (MBI), to Keller to scuss his wealth goals. Keller realizes ththe Morrisons’ cision making is influencepsychologicconsirations ancis to use a goal-baseplanning approach. Keller constructs the table below to simplify the scussion their next schelemeeting. TableMorrison Family Wealth stribution Keller anRicharMorrison scuss severheing techniques anMorrison makes the following statement: \"I like the strategy thallows me to lock-in a floor prianretain unlimiteupsi potential.\" Intify anscuss the heing tool thMorrison is most likely referring to in the above statement. The heing tool Morrison is most likely scribing is a protective put position. The strategy is the combination of a long stoposition ana long put position, whiwoulprovi wnsi protection (loin a floor price) with unlimiteupsi participation. Morrison woulbuy put options equivalent to the number of shares to hee The put options woulhave a strike prithis either or, more typically, slightly below the current stoprice. Morrison woulpamount, referreto the option premium, to acquire the puts. Conceptually, this is similto the payment of insuranpremium. If the priof Mfalls below the strike priring the term of the option, the put option coulexercisethe strike price, proving wnsi protection. If the share priis above the strike primaturity, Morrison woullet the option expire anretain the upsi. A zero-premium collwoulnot accomplish Morrison’s goto loin a floor prianretain unlimiteupsi potential. A cashless collis establishebuying puts anselling calls on the shares to hee The long put protects the owner of the shares from any loss below the strike priof the puts. However, the investor forfeits some of the upsi potentiof the unrlying stock. Like a cashless collar, a prepaivariable forwar(PVF) woulnot accomplish Morrison’s goal. A PVF combines the economiof a collanborrowing against the unrlying stowithin a single instrument. 老师你好，请问“ Like a cashless collar, a prepaivariable forwar(PVF) woulnot accomplish Morrison’s goal. A PVF combines the economiof a collanborrowing against the unrlying stowithin a single instrument.” 这句话是什么意思呢？

2020-02-02 17:18 1 · 回答

Hill refers his frien RicharMorrison, the former CEO of Masury Brie anIron (MBI), to Keller to scuss his wealth goals. Keller realizes ththe Morrisons’ cision making is influencepsychologicconsirations ancis to use a goal-baseplanning approach. Keller constructs the table below to simplify the scussion their next schelemeeting. TableMorrison Family Wealth stribution Keller anRicharMorrison scuss severheing techniques anMorrison makes the following statement: \"I like the strategy thallows me to lock-in a floor prianretain unlimiteupsi potential.\" Intify anscuss the heing tool thMorrison is most likely referring to in the above statement. The heing tool Morrison is most likely scribing is a protective put position. The strategy is the combination of a long stoposition ana long put position, whiwoulprovi wnsi protection (loin a floor price) with unlimiteupsi participation. Morrison woulbuy put options equivalent to the number of shares to hee The put options woulhave a strike prithis either or, more typically, slightly below the current stoprice. Morrison woulpamount, referreto the option premium, to acquire the puts. Conceptually, this is similto the payment of insuranpremium. If the priof Mfalls below the strike priring the term of the option, the put option coulexercisethe strike price, proving wnsi protection. If the share priis above the strike primaturity, Morrison woullet the option expire anretain the upsi. A zero-premium collwoulnot accomplish Morrison’s goto loin a floor prianretain unlimiteupsi potential. A cashless collis establishebuying puts anselling calls on the shares to hee The long put protects the owner of the shares from any loss below the strike priof the puts. However, the investor forfeits some of the upsi potentiof the unrlying stock. Like a cashless collar, a prepaivariable forwar(PVF) woulnot accomplish Morrison’s goal. A PVF combines the economiof a collanborrowing against the unrlying stowithin a single instrument. 老师你好，不明白，为什么put的执行价格要比现在的价格略低一点？

2019-12-25 09:29 1 · 回答