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粉红豹 · 2020年02月25日

问一道题:NO.PZ201601050100000203

* 问题详情,请 查看题干

问题如下:

3. Based on Ostermann‘s views regarding active currency management, the percentage of currency exposure in her discretionary accounts that is hedged is most likely:

选项:

A.

0%.

B.

50%.

C.

100%.

解释:

A is correct.

Guten believes that, due to efficient currency markets, there should not be any long-run gains for speculating (or active management) in currencies, especially after netting out management and transaction costs. Therefore, both currency hedging and actively trading currencies represent a cost to the portfolio with little prospect of consistently positive active returns. Given a long investment horizon and few immediate liquidity needs, Guten is most likely to choose to forgo currency hedging and its associated costs.

B and C are incorrect because given a long investment horizon and little immediate liquidity needs, Guten is most likely to choose to forgo currency hedging and its associated costs. Guten believes that due to efficient currency markets there should not be any long-run gains when speculating in currencies, especially after netting out management and transaction costs.

老师好,答案中的"Given a long investment horizon and few immediate liquidity needs",这个信息从哪里看出来的啊、?

2 个答案

xiaowan_品职助教 · 2020年02月27日

同学你好,这道题中给的信息确实很有限,只能说是根据Ostermann的观点推断他可能采取的策略,再推断出他的可能有的特点和诉求

能采取的交易策略是长期持有资产,对应long investment horizon

中间不进行交易获取短期收益,对应a few immediate liquidity

xiaowan_品职助教 · 2020年02月26日

嗨,努力学习的PZer你好:


同学你好,这道题的题干中给出的信息可以让我们判断出Ostermann对active currency management的看法,即长期来看有效货币市场中主动管理是难以带来超额收益的,并且不喜欢频繁交易。我们基于这个管理理念认为他最有可能采取的交易策略是长期持有资产,对应long investment horizon,不进行主动hedge,且中间不进行交易获取短期收益,对应a few immediate liquidity needs。


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


粉红豹 · 2020年02月26日

我明白您的道理,但是我在题干中不知道“这道题的题干中给出的信息” 定位在哪里,老师能帮忙指一下吗?从哪些信息判断出后面的推断的?

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