汇报人:时间:2020
本模板有完整的思路及框架,更贴近实用
滋维博迪投资学Chap023
HedgingForeignExchangeRisk
AUSexporterwantstoprotectagainstadeclineinp
汇报人:时间:2020
本模板有完整的思路及框架,更贴近实用
滋维博迪投资学Chap023
HedgingForeignExchangeRisk
$2/£=$?
Theexporteranticipatesaprofitlossof$200,000ifthepounddeclinesby$.10
Shortorsellpoundsforfuturedeliverytoavoidtheexposure.
8
HedgeRatioforForeignExchangeExample
HedgeRatioinpounds
$200,000per$.10changeinthepound/dollarexchangerate
$.10profitperpounddeliveredper$.10inexchangerate
=2,000,000poundstobedelivered
HedgeRatioincontracts
Eachcontractisfor62,500poundsor$6,250pera$.10change
$200,000/$6,250=32contracts
9
10
Availableonbothdomesticandinternationalstocks
Settledincash
Advantagesoverdirectstockpurchase
lowertransactioncosts
betterfortimingorallocationstrategies
takeslesstimetoacquiretheportfolio
StockIndexContracts
11
-IndexFutures
12
13
CreatingSyntheticPositions withFutures
Indexfuturesletinvestorsparticipateinbroadmarketmovementswithoutactuallybuyingorsellinglargeamountsofstock.
Results:
Cheaperandmoreflexible
Syntheticposition;insteadofholdingorshortingalloftheactualstocksintheindex,youarelongorshorttheindexfutures
14
CreatingSyntheticPositions withFutures
Speculatorsonbroadmarketmovesaremajorplayersintheindexfuturesmarket.
Strategy:BuyandholdT-billsandvarythepositioninmarket-indexfuturescontracts.
Ifbullish,thenlongfutures
Ifbearish,thenshortfutures
15
Exploitingmispricingbetweenunderlyingstocksandthefuturesindexcontract
FuturesPricetoohigh-shortthefutureandbuytheunderlyingstocks
Futurespricetoolow-longthefutureandshortselltheunderlyingstocks
IndexArbitrage
16
Thisisdifficulttoimplementinpractice
Transactionscostsareoftentoolarge
Tradescannotbedonesimultaneously
DevelopmentofProgramTradi
滋维博迪投资学Chap023 来自淘豆网m.daumloan.com转载请标明出处.
