NO.PZ201902210100000106
问题如下：
If Winslow is allowed to hedge into any of the currencies, she can obtain the highest expected returns by
选项：
A. buying the Greek 5-year in each portfolio and hedging it
into Pesos.
B. buying the Greek 5-year in
each portfolio and hedging it into USD.
C. buying the Mexican 5-year in each portfolio and not
hedging the currency.
解释：
A is correct.
As shown in the previous question, the Greek bond is the most attractive. Although the Peso is expected to depreciate by 2% against the EUR and the GBP and by 1% against the USD, this is less than the benefit of hedging EUR into MXN (+3.475%). The net currency component of the expected return is +1.475% = (3.475% – 2.0%) for the EUR and GBP portfolios and +2.475% = (3.475% – 1.0%) for the USD-denominated portfolio. Hedging into GBP would add only 0.175% for any of the portfolios. Hedging into USD would reduce expected return for any of the portfolios because the pick up on the hedge (+0.625%) is less than the expected depreciation (–1.0%) of the USD against the Euro and GBP.
B is incorrect. Hedging the Euro-denominated Greek bond into USD would reduce expected return for any of the portfolios because the pick on the hedge (+0.625%) is less than the expected depreciation of the USD against the Euro and GBP.
C is incorrect. As shown above, the Greek bond is more attractive than the Mexican bond.
我在做原版书题的时候，发现这个case后面还有4个小题。一是在咱们题库没看到，二是原版书习题讲解也没有那几个题。我做的也晕晕的答案也看不明白。所以想请教一下。
