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LOS h: Discuss and justify other methods for managing currency exposure, including the indirect currency hedge created when futures or options are used as a substitute for the underlying investment.
Q1. When adding exposure to equities in a foreign market to your portfolio, which of the following strategies would offer the lowest amount of currency risk? In:
A) the foreign derivatives market going short call options on an index on the foreign market.
B) your domestic derivatives market going long call options on an index on your domestic market.
C) your domestic derivatives market going long call options on an index on the foreign market.
Q2. When adding exposure to equities in a foreign market to your portfolio, which of the following strategies would offer the lowest amount of currency risk? In:
A) the foreign futures market going short index futures on an index on the foreign market.
B) your domestic futures market going long index futures on an index on the foreign market.
C) your domestic futures market going long index futures on an index on your domestic foreign market.
Q3. Jill Pope, CFA, has been managing a stock portfolio denominated in a foreign currency and has set a particular nominal return goal for the portfolio. She wishes to investigate ways to achieve the goal while lowering the currency risk. Which of the following strategies is most appropriate?
A) Decreasing the duration of the stock portfolio.
B) Increasing the beta of the stock portfolio.
C) Decreasing the beta of the stock portfolio. | 
发表于 2009-4-8 09:59
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