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维克多周 · 2020年04月04日

问一道题:NO.PZ2016031201000018 [ CFA I ]

问题如下:

An arbitrage transaction generates a net inflow of funds:

选项:

A.

throughout the holding period.

B.

at the end of the holding period.

C.

at the start of the holding period.

解释:

C is correct.

Arbitrage is a type of transaction undertaken when two assets or portfolios produce identical results but sell for different prices. A trader buys the asset or portfolio with the lower price and sells the asset or portfolio with the higher price, generating a net inflow of funds at the start of the holding period. Because the two assets or portfolios produce identical results, a long position in one and short position in the other means that at the end of the holding period, the payoffs offset. Therefore, there is no money gained or lost at the end of the holding period, so there is no risk.

听了课之后,有一点不理解,如果两个相反的头寸最终能够offset,那这不应该是对冲吗?为什么是套利呢?越听越晕了
1 个答案

xiaowan_品职助教 · 2020年04月07日

嗨,从没放弃的小努力你好:


同学你好,套利的原则就是“低买高卖”,举个例子来说,我认为当前期货价格相对于现货是被高估了,

假设期货价格为10,现货价格为8,于是我就在0时刻,做空期货,并且购买现货,等到交割时,期现货价格收敛,我就用手中的现货去进行期货交割,这个交易就结束了,这个套利的收益也就是我们在0时刻就知道的10-8=2


-------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!


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