注册 登录
上一主题：Without referring to your notes....
下一主题：soccer player's risk tolerance
返回列表 发帖
king_kong

Rank: 2

UID
222279 
帖子
254 
主题
62 
注册时间
2011-7-2 
最后登录
2014-6-28 
1# 跳转到 » 倒序看帖
打印
tT
发表于 2011-7-11 19:28 | 只看该作者

2011 Mock Question 16

conflict, building, 2011, currency
"In portfolios with assets in many currencies, the residual risk of each currency is partly diversified away."

How does this conflict with multicurrency hedging? When building a multifactor model, this is taken into account in order to choose the fewest number of currencies.

NO EXCUSES

 

相关主题：

. [CFA一级]t bill 和 euro dollar futures

. few questions from my day of studies...

. P4 Ftc Exam Tips for December 2008

. Currency

. 2011 Mock Question 8

收藏 分享

Iginla2011

Rank: 2

UID
222302 
帖子
408 
主题
11 
注册时间
2011-7-2 
最后登录
2016-6-23 
2#
发表于 2011-7-11 19:28 | 只看该作者
Is it because he is using cross hedges? So every currency has to be accounted for?

NO EXCUSES

TOP

bodhisattva

Rank: 2

UID
222301 
帖子
442 
主题
9 
注册时间
2011-7-2 
最后登录
2015-12-29 
3#
发表于 2011-7-11 19:28 | 只看该作者
I think if currency risk can offset each other , it does not need to fully hedge each currency .

TOP

wake2000

Rank: 2

UID
222312 
帖子
415 
主题
5 
注册时间
2011-7-2 
最后登录
2015-12-9 
4#
发表于 2011-7-11 19:28 | 只看该作者
I got wrong too. But I think this is a problem of wording. The question asked : Which is "least likely" supports his recommended hedge structure.

According to fact 2, there is no need to hedge at all. So, this does not support his recommended hedge structure. Am I right ?

TOP

canadiananalyst

Rank: 2

UID
222292 
帖子
399 
主题
8 
注册时间
2011-7-2 
最后登录
2014-6-29 
5#
发表于 2011-7-11 19:28 | 只看该作者
As far as I know, residual risk is very low.

TOP

justin88

Rank: 2

UID
222316 
帖子
403 
主题
7 
注册时间
2011-7-2 
最后登录
2016-8-2 
6#
发表于 2011-7-11 19:28 | 只看该作者
All 3 facts are correct statement...Fact2 is best answer, I might get it right because of either lucky or thinking that Fact1&3 support his recommendation well.

Can the residual risk be diversified away?

TOP

PalacioHill

Rank: 2

UID
222325 
帖子
366 
主题
5 
注册时间
2011-7-2 
最后登录
2015-1-15 
7#
发表于 2011-7-11 19:28 | 只看该作者
V5, P304.


In a portfolio with assets in many currencies, the residual risk of each currency is partly diversified away.

--wow, straight from book!

TOP

返回列表
上一主题：Without referring to your notes....
下一主题：soccer player's risk tolerance