开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

nanaluo · 2021年10月05日

请问这里的x为什么等于-rho呢？

  1. FRM I
  2. Financial Markets And Products

NO.PZ2016082404000017

问题如下：

If two securities have the same volatility and a correlation equal to -0.5 their minimum variance hedge ratio is

选项：

A.

  1:1

B.

  2:1

C.

  4:1

D.

  16:1

解释：

ANSWER: B

Set x as the amount to invest in the second security, relative to that in the first (or the hedge ratio). The variance is then proportional to 1+x2+2xρ1+x^2+2x\rho. Taking the derivative and setting to zero, we have x=−ρ=0.5x=-\rho=0.5. Thus, one security must have twice the amount in the other. Alternatively, the hedge ratio is given by N∗=−ρσSσFN\ast=-\rho\frac{\sigma_S}{\sigma_F} which gives 0.5. Answer B is the only one that is consistent with this number or its inverse.

请问这里的x为什么等于-rho呢？

添加评论
1 个答案

李坏_品职助教 · 2021年10月05日

嗨，从没放弃的小努力你好：


这里是先对1+x^2+2xρ求一阶导数，结果是2x + 2ρ，令2x + 2ρ = 0，可以得到x = -ρ。

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

  • 1

    回答

  • 0

    关注

  • 411

    浏览
相关问题

NO.PZ2016082404000017问题如下If two securities have the same volatility ana correlation equto -0.5 their minimum varianhee ratio is  1:1   2:1   4:1   16:1 ANSWER: BSet x the amount to invest in the seconsecurity, relative to thin the first (or the hee ratio). The varianis then proportionto 1+x2+2xρ1+x^2+2x\rho1+x2+2xρ. Taking the rivative ansetting to zero, we have x=−ρ=0.5x=-\rho=0.5x=−ρ=0.5. Thus, one security must have twithe amount in the other. Alternatively, the hee ratio is given N∗=−ρσSσFN\ast=-\rho\frac{\sigma_S}{\sigma_F}N∗=−ρσF​σS​​ whigives 0.5. Answer B is the only one this consistent with this number or its inverse.这道题前面一半式子列出来了，但是不知道为什么等号右边还有式子，hee的话varx+ay不应该＝0咩

2022-05-04 06:51 1 · 回答

  2:1   4:1   16:1 ANSWER: B Set x the amount to invest in the seconsecurity, relative to thin the first (or the hee ratio). The varianis then proportionto 1+x2+2xρ1+x^2+2x\rho1+x2+2xρ. Taking the rivative ansetting to zero, we have x=−ρ=0.5x=-\rho=0.5x=−ρ=0.5. Thus, one security must have twithe amount in the other. Alternatively, the hee ratio is given N∗=−ρσSσFN\ast=-\rho\frac{\sigma_S}{\sigma_F}N∗=−ρσF​σS​​ whigives 0.5. Answer B is the only one this consistent with this number or its inverse.老师，看了解析这题也没懂，可以一下吗？这题的hee ratio=0.5吗？

2020-06-21 17:24 1 · 回答

这题答案都看不懂。 老师的讲义中，都是用的线性回归来做Hee ration, 无法理解这里为什么会得到了个x的平方的方程。 我看了之前的答案，完全无法理解，求的更具体，谢谢。

2020-03-02 20:33 1 · 回答

     我的问题 1 资产波动率是因为利率波动造成的债券价格的波动？也就是说方差的对象是profolio value?                   2. 两个波动率相同，我们假设为v，那么 var(v+xv)表达的是什么

2019-11-07 08:02 1 · 回答