题目内容
（请给出正确答案）
提问人：网友weiliang1978
发布时间：2022-01-06
[主观题]
—I have been looking for you all day. — I went to swim. —You couldn’t _____ all day.
A、have swum
B、be swimming
C、swim
D、have been swimming
简答题官方参考答案
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You are a U.S. investor who holds a portfolio of French stocks. The market value of the portfolio is €20 million, with a beta of 1.2 relative to the CAC index. In November, the spot value of the CAC index is 4,000. The exchange rate is $1.1/€. The dividend yield, euro interest rates, and dollar interest rates are all equal to 4 percent (flat yield curves). a. You fear a drop in the French stock market (but not the euro). The size of CAC index contracts is €10 times the CAC index. There are futures contracts quoted with March delivery. How many contracts should you buy or sell to hedge the French stock market risk? b. You are optimistic about the French stock market [different scenario from part (a)] but fear a depreciation of the euro. How many euros should you sell forward? c. You have the following quotes in Chicago on euro options, maturity March. Should you buy or sell calls or puts to insure against currency risk? What is the premium?
d. Calculate the result of your strategies (unhedged, hedged with March forward, insured with March options), assuming that your French stock portfolio is still worth €20 million in March. Simulate for different values of the spot €:$ in March, namely, €1 = $1, $1.1, $1.2.
