Q3 If Window is limited to unhedged positions or hedging into each portfolio's base currency, she can obtain the highest expected returns by:
在对比return时为什么用半年期利率而不用年化利率？谢谢！
Lnn · 2020年07月05日
Q3 If Window is limited to unhedged positions or hedging into each portfolio's base currency, she can obtain the highest expected returns by:
在对比return时为什么用半年期利率而不用年化利率？谢谢！
而且为什么在计算hedge return时，我们选用EUR作为common currency，老师在视频中说GREECE就是EUR本身，所以它的Rfx部分等于0， 但是我们在算return时用的GREECE的return 5.7%/2 而不是用EUR的0.6% /2， 怎么会说GREECE就是EUR呢？
WallE_品职答疑助手 · 2020年07月06日
题目基于的都是年化利率，但是全部得除以2，按6个月算。
至于为什么，那是因为题干
“The six-month Libor rates also represent the rates at which investors can borrow or lend in each currency.”
“the five-year German government note are the cheapest to deliver against their respective futures contracts expiring in six months.”
"Winslow expects yields in the US, Euro, UK, and Greek markets to remain stable over the next six months."
题干全都是基于6个月，而且收益率曲线也只stable over 6 months。