asakawalan

我选的VWAP，题目里面写了LARGE PORTION OF MONEY，不可以用IMPLEMENTATION SHAOTFALL吧，如果交易量 ...
rongsummer 发表于 2012-6-4 09:55

   主要矛盾是一个trending up的market，如果不尽快交易，miss trade oppotunity cost会很大，
从这个角度，记得现实中国内公募基金行业也是早上买入指令多，下午2点以后卖出指令多，因为下午2点以后价格更接近当日的vwap

asakawalan

8080
上午固定收益那道题，第三问？两只国债还有MBS，那只债券更接近？利率下行时收益和久期应该怎样变化？ ...
ytw_2006 发表于 2012-6-4 12:59

   把利率上升和下降时每个债券价格变化分别求出来，就可以发现C债券有负的convexity了啊

asakawalan

请问教材上面说分子要用gift tax & 分母用estate tax.....可是如果没有给 estate tax 要这么算？
Thank y ...
dpictureq 发表于 2012-6-5 15:56

   7年之后gift 也是gift ，老爷子7年后又没死，用什么estate tax rate

asakawalan

回复  greenturtle


    问的是poland的最小怎么变动 所以要用他问的那个国家的除 不论大小 ...
foravenir 发表于 2012-6-5 16:15

   用较大的除，关键字是 contry beta
波兰当地yield的变化，和你的组合净值变动有关系吗？ 你的组合净值变动衡量应该用本币的yield

asakawalan

回复 238# tt501916


  编辑掉

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.

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.