岳同学2020-08-31 16:04:13

2015 Q9 請問正式考試這樣寫可以嗎? A 1. The fund wants to construct a portfolio biased toward small-cap stocks. By choosing an equal-weighted index as a benchmark, which weights amount of positions in the index equally, the fund wont overweight return attributed to large caps. 2. The fund plans to set the position size between 3% to 5% for each position. With a small range of deviation in position size, using an equal-weighted index is suitable. B Objective 1 Hedged return with forward contact: 1.2065/1.1930 = 1.0113 or 1.13%; Unhedged return: 1.2045/1.1930 = 1.0096 or 0.96% 1.0113/1.0096 -1 = 0.17% or 17bps. Objective 1 cant be achieved by buying a 1-yr forward contract. Objective 2 Unhedged volatility: Variance: 5%^2 ＋ 15%^2 -2*15%*5%*-0.07 = 0.0239 Volatility: 0.0239^0.5 = 15.47% Hedged volatility: 15% 15.47% - 15% = 0.47% Objective 2 cant be achieved by buying forward contract. C 1. Aron should execute trade 2; 1.60 * 1.05 = 1.68 Aron should buy a call at 1.6 strike and sell a call at