貝同學(xué)
2021-12-04 09:19為什么merger-arbitrage-return-is-insurance-like-plus-a-short-put-option?
所屬：CFA Level III > Alternative Investments for Portfolio Management 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Chris Lan助教
2021-12-06 09:29
該回答已被題主采納
同學(xué)你好
書中的解釋如下：
Merger arbitrage is comparable to writing insurance on an acquisition. 合并套利相當(dāng)于為收購(gòu)賣出保險(xiǎn)（承保）。
If the acquisition is completed as planned, the hedge fund earns an insurance premium. 如果收購(gòu)按計(jì)劃完成，對(duì)沖基金將獲得一筆保險(xiǎn)費(fèi)。
If the transaction fails, then the hedge fund stands to lose money, analogous to an insurance company making a payout. 如果交易失敗，對(duì)沖基金就會(huì)賠錢，就像保險(xiǎn)公司理賠一樣。
因此兩種可能性結(jié)合就相當(dāng)于是Its return profile is insurance-like plus a short put option.
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