Lucy · 2020年03月02日
问题如下：
The return on an optimally hedged portfolio is independent of the return of the hedging instrument. True or false?
解释：
False. The optimally hedged portfolio is uncorrelated with the return on the hedge. It is not necessarily independent. It would be independent if the returns were jointly normally distributed.
optimal hedged portfolio beta应该=1吧，但答案说uncorrelated with Rh,这样correlation 应该等于0吧，感觉矛盾了，怎么理解？NO.PZ2020010801000007问题如下The return on optimally heeportfolio is inpennt of the return of the heing instrument. True or false? False. The optimally heeportfolio is uncorrelatewith the return on the hee. It is not necessarily inpennt. It woulinpennt if the returns were jointly normally stribute hee portfolio 的return不是通过线性回归方程来求的吗？而其中的一个部分不就是hee return。 那为什么会说没有线性关系呢？另外inpennt 部分也是没看懂
NO.PZ2020010801000007问题如下The return on optimally heeportfolio is inpennt of the return of the heing instrument. True or false? False. The optimally heeportfolio is uncorrelatewith the return on the hee. It is not necessarily inpennt. It woulinpennt if the returns were jointly normally stribute hee是做的线性对冲，所以对冲后只能保证optimally heeportfolio与hee instrument之间不存在线性关系，但可能存在非线性关系，所以不能说inpennt。
什么是optimally heeportfolio呢，为什么beta是0呢？beta不是optimhee ratio吗？
不懂这个题的答案。求解惑。
题目说的是独立，而非是不相关啊
