dpictureq

D(equity)=(D(Asset)*A-D(Liability)*L)/Equity 一般要比D(Asset)高
cycywan2008 发表于 2012-6-8 23:01

要如何找    D(Asset) & A ？ 是用 5 & $70 吗？ thank you

cycywan2008

回复 332# coolphon


    07年注册的，1-3级一次过，不看书不看Notes，只参加培训班，大家擦亮眼睛看看啊，是不是马甲的广告贴

cycywan2008

D(equity)=(D(Asset)*A-D(Liability)*L)/Equity 一般要比D(Asset)高

dpictureq

Initial investment $70 with return 5% & duration of 5. How to find duration n return of the equity after borrowing $30 with cost of 3% & duration of 3.....thank you

dpictureq

回复  dpictureq


   What's the characteristic of the human capital? I've forgot it...
cfasift 发表于 2012-6-8 18:46

    I think its A guaranteed salary

dmy949

Which asset best repress the human capital: equity,  AAA CORPORTAT BOND, GOVERNMENT BOND, AMORTIZED  ...
dpictureq 发表于 2012-6-8 16:00

    I chose aaa corporate bond on exam but after reconsider the situation at lunch that day, the answer is more likely to be amortized bond. Human capital is amortizing and the par reduce to 0 when retired, all other instriments are bullet structure. I remember it accounts above 6 marks, what a pity.

Allenden

Which asset best repress the human capital: equity,  AAA CORPORTAT BOND, GOVERNMENT BOND, AMORTIZED  ...
dpictureq 发表于 2012-6-8 16:00

I chose Treasury bill. It may sound ridiculous but my reason is that now his salary is indexed to inflation.So it is like you invest in Treasury bill every year with interest rate determined by the prevailing market interest rate and get the cash inflow at the end of every year. And because the interest rate of Treasury is highly correlated with short-term inflation rate, so I think Treasury bill best represents his human capital. But I don't have faith in my answer even when I wrote this but I can't think of the reasons to choose other assets at that time and I was running out of time....

dpictureq

Which asset best repress the human capital: equity,  AAA CORPORTAT BOND, GOVERNMENT BOND, AMORTIZED MTG BOND...I chose amortized bond........not sure if it's correct

asakawalan

according to you，a hedge must have negative corrolation with the underling asset,
then how can  ...
greenturtle 发表于 2012-6-5 22:11

   the textbook you referred to aims the purchasing power reservation, not hedge.
the HEDGE showed up in the exam, is more like a delta HEDGE.

asakawalan

回复  tt501916


    think in another way again.

if the question is changed to "unexpected DEFLAT ...
tt501916 发表于 2012-6-5 21:56

   the same ration as in the currency movement chapter, for asset managers seeking int'l diversification benefits, sth they concern the most is that the local currency moves in the same direction as the asset return in local currency term.