So many hedge. So confusing...

currency, equity, price, where

I just realised currency hedge we do not divide by the price. Just take portfolio value/lot size. For equity hedge we need to consider the price. Worse still, there are some hedge where we need to multiply by 1+rf. It so confusing

Chuckrox

CFA Candidates

Rank: 2

UID: 222315
帖子: 427
主题: 12
注册时间: 2011-7-2
最后登录: 2016-4-19

2^#

发表于 2011-7-11 19:40 | 只看该作者

Just remember the 1 + rf is when you are monetizing an equity position. You use the 1 + rf to 'lock in' the cash return during that period.

TOP

aidebaobao

CFA Candidates

Rank: 2

UID: 218212
帖子: 287
主题: 71
注册时间: 2011-5-26
最后登录: 2012-9-12

3^#

发表于 2011-7-11 19:40 | 只看该作者

(1+rf) is to convert a risky portfolio to cash.

(1+rf) is missing when eliminating the systematic risk from the portfolio but that does not mean what is left is riskless as there could still be other risks still there.

TOP

返回列表

So many hedge. So confusing...

[收藏此主题] [关注此主题的新回复]

[通过 QQ、MSN 分享给朋友]