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A relative value hedge fund manager holds a long position in Asset A and a short position in asset B of roughly equal principal amounts. Asset A currently has a correlation with asset B of 0.97. The risk manager decides to overwrite this correlation assumption in the variance covariance based VAR model to a level of 0.30. What effect will this change have on the resulting VAR measure?()

A.It increases VAR.

B.It decreases VAR.

C.It has no effect on VAR, but changes profit or loss of strategy.

D.Do not have enough information to answer.

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更多“A relative value hedge fund manager holds a long position in Asset A and a short position in asset B…”相关的问题

第1题

Pegged exchange rate refers to currency value is_________ relative to a reference cur

rency.

A.floating

B.free

C.variable

D.fixed

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第2题

Money acts as a unit of account because we can use it to measure the relative value of

goods and services.()

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第3题

A decrease in the foreign interest rate relative to the domestic interest rate ___________ the exchange rate value of a foreign currency in the short run.

A、increases

B、decreases

C、does not affect

D、eliminates

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第4题

If the donor of a gift pays the gift taxes instead of the recipient, then the relative

value of the gift:

A) decreases.

B) increases.

C) experiences no change.

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第5题

Price-to-book value ratios are most appropriate for measuring the relative value of a:

A、bank.

B、Manufacturing company.

C、Mature technology company.

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第6题

An investment manager is given the task of beating a benchmark. Hence, the risk should be measured（）.

A.In terms of loss relative to the initial investment

B.In terms of loss relative to the expected portfolio value

C.In terms of loss relative to the benchmark

D.In terms of loss attributed to the benchmark

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第7题

The index weighting that results in portfolio weights shifting away from securities that have increased in relative value toward securities that have fallen in relative value whenever the portfolio is

A、float-adjusted market-capitalization weighting.

B、Equal weighting.

C、Fundamental weighting.

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第8题

MOSFETs typically have an input impedance value that is ______.

A、higher than the JFET

B、lower than the JFET

C、equal to theJFET

D、randomly defined relative to the JFET

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第9题

Under the gold standard, the par value of the exchange rate was determined by __________

A．gold parity of the relative currencies

B．interest rate of the relative currencies

C．demand and supply forces in the foreign exchange market

D．inflation rate of the relative currencies

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第10题

Which of the following is an advantage of the full value approach to measuring the inte

rest rate risk of a bond portfolio relative to the duration/convexity approach？

A. less time consuming.

B. easier to model.

C. more accurate.

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第11题

For the United States, empirical studies indicate that over the past two decades the cost of international transportation relative to the value of U.S. imports has:

A.Increased

B.Decreased

C.Notchange

D.Noneoftheabove

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