问一道题：NO.PZ2018091701000008

问题如下：

Compared to a long position in Portfolio B, which of the following is correct if the same amount of money is invested in a short position in Portfolio C?

选项：

A short position in Portfolio C can increase the expected return.

A long position in Portfolio B can reduce the inflation risk exposure.

A short position in Portfolio C can reduce the GDP growth risk exposure.

解释：

C is correct.

考点：factor sensitivity

解析：Portfolio C的inflation factor sensitivity为0，GDP growth factor sensitivity为1.5。因此short Portfolio C会减少原有的GDP growth risk exposure，但对inflation没有影响。而Portfolio B的inflation factor sensitivity为0.2，GDP growth risk exposure为2，long Portfolio B 将同时增加GDP growth和inflation的risk exposure。无法判断预期收益率是否会增加。