汇率风险套期保值 Hedging Foreign EXchange Risk 套利的净所得是无风险的,它等于E1+rusF0(1+ruk)。如果这个值是正的 ,就在英国借款,在美国贷款,然后建立期货多头头寸以消除汇率风险。如果 这个值是负的,就在美国借款,在英国贷款,然后建立英镑期货的空头头寸 i价格正好相符没有套利机会时,这个表达式一定等于零。如果它为正,投资 者会攫取套利收益;如果它为负,投资者反向操作还是能获得套利收益。把这 个表达式整理一下得到: The net proceeds to the arbitrage portfolio are risk-free and given by Eo(1+rus)- Fo(1+ruK). If this value is positive, borrow in the United Kingdom, lend in the United States, and enter a long futures position to eliminate foreign exchange risk. If the value is negative, borrow in the United States, lend in the United Kingdom, and take a short position in pound futures. When prices preclude arbitrage opportunities, the expression must equal zero. Rearranging this expression gives us the relationship 1+ Us Eo 0 1+ ruK 23-923-9 汇率风险套期保值 Hedging Foreign Exchange Risk 套利的净所得是无风险的，它等于 E0 (1＋rUS)-F0 (1＋r UK)。如果这个值是正的 ，就在英国借款，在美国贷款，然后建立期货多头头寸以消除汇率风险。如果 这个值是负的，就在美国借款，在英国贷款，然后建立英镑期货的空头头寸。 当价格正好相符没有套利机会时，这个表达式一定等于零。如果它为正，投资 者会攫取套利收益；如果它为负，投资者反向操作还是能获得套利收益。把这 个表达式整理一下得到： The net proceeds to the arbitrage portfolio are risk-free and given by E0 (1+rUS)- F0 (1+rUK). If this value is positive, borrow in the United Kingdom, lend in the United States, and enter a long futures position to eliminate foreign exchange risk. If the value is negative, borrow in the United States, lend in the United Kingdom, and take a short position in pound futures. When prices preclude arbitrage opportunities, the expression must equal zero. Rearranging this expression gives us the relationship