Yuzuru
2024-06-26 00:33equity官網(wǎng)題,請幫忙解釋一下此問。
所屬:CFA Level III > Equity 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
2024-06-26 15:59
該回答已被題主采納
同學(xué),上午好。
Mukilteo also plans to 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.
在市場下跌時,波動會增加,所以volatility會增加。那么就要long volatility
A選項cross-asset volatility trading between the US and Japanese markets.是利益volatility在美國和日本市場低買高賣,進行套利,但套利需要市場穩(wěn)定,但背景是financial crisis ,所以A不選。
B選項 selling equity volatility,做空波動,所以也不選。
C選項 buying longer-dated out-of-the-money options on VIX index futures. 買入option,就是買volatiltiy,符合要求。
