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2024-05-27 16:10原版書(shū)V2 - 第200頁(yè)
On the basis of these calculations, she recommends that the minimum-variance hedge ratio for Kilmarnock Capital’s exposure to the SMI be set at approximately 135%. This recommendation means that a long CHF1,000,000 exposure to the SMI should be hedged with a short position in CHF against the GBP
所屬：CFA Level III > Derivatives and Currency 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
Simon助教
2024-05-28 11:22
該回答已被題主采納
同學(xué)，上午好。
這個(gè)是example里的解析，大致含義是因?yàn)橛?jì)算出b1=1.35，所以如果對(duì)沖，就需要做空1.35倍的外幣，也就是做空CHF1,350,000。
其原理見(jiàn)截圖。
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