-
2024-04-11 15:54老師,請講解一下該科目LM1課后題的Q7,謝謝。
所屬:CFA Level III > Alternative Investments for Portfolio Management 視頻位置 相關(guān)試題
來源: 視頻位置 相關(guān)試題
1個回答
Simon助教
2024-04-15 13:10
該回答已被題主采納
同學(xué),上午好。此題信息是recommend a specialist hedge fund strategy that would allow PWPF to maintain a high Sharpe ratio even during a financial crisis when equity markets fall。即使市場下跌,也要有高sharpe ratio,即市場下跌時表現(xiàn)好。
市場下跌時,往往伴隨恐慌,波動會增加,所以要long volatility,即選C long options on VIX
B選項short volatility,排除。
A選項 cross-asset volatility trading,策略舉例見截圖。
