sayyescici

QUOTE:

以下是引用cfapass2011在2011-6-8 5:05:00的发言：
有一题 hedge oil, 500 call, 500 put, strick price 70 and 80, three choices, 70几,80几,88好像是这题选的什么?

 83.2 or 82.30 (strike price of call 80+ the net of call and put's premium)

sayyescici

QUOTE:

以下是引用lululi在2011-6-8 4:58:00的发言：

Advantage of fixed horizon planning: minimum volatility of safe return? aggressive investment in surplus?

 

Which investment assessment to choose (in the AM session): micro? macro?

 

 

Macro analysis

cfapass2011

有一题 hedge oil, 500 call, 500 put, strick price 70 and 80,
three choices, 70几,80几,88好像是
这题选的什么?

fenglee

QUOTE:

以下是引用brightcool在2011-6-8 4:18:00的发言：

对 因为利率也增加了

哪里说利率增加了？是原题给的么？

cfapass2011

以下是引用cfapass2011在2011-6-8 4:49:00的发言：
第一个算gdp, 第二个gs, gl 第三个问environment decrease gdp, lower retirement age decrease gdp 第四个就是这个问题 第五个是over and fairly value -----第三个环境影响应该是暂时,这题问的是long time trend gdp, retooling应该是对此没影响吧...

我记得问的是short-term impact


----你确定吗? 我记得当时特意仔细看的问的是long term trend...

sayyescici

那个hedge ratio我想起来了。

算的时候： (9x.00/100.00)x face value x duration x 1%= dollar duration value

然后所有的新的加起来，旧的加起来。用新的除以旧的。反正是》1，然后这个(1.xxx-1.00)就是hedge ratio. 然后用这个ratio x(sum of face value)就是要买的cash。对否？

lululi

Advantage of fixed horizon planning: minimum volatility of safe return? aggressive investment in surplus?

 

Which investment assessment to choose (in the AM session): micro? macro?

swinerton

QUOTE:

以下是引用sayyescici在2011-6-8 4:51:00的发言：

谁能回忆下，gold那套题目都考了哪6题？

1. 是否说的对？答案：yes/no,borrow risk free - lease rate/no, lend risk-free -lease rate
2. if arbitrage exists? answers: yes, borrow from bank.
3?
4?
5?
6?

convenience yield sortino ratio which hedges inflation

chalanda

..........

chalanda

..........