2020年CFA考试《CFA三级》考试共题，分为。小编为您整理Risk Management Applications of Derivatives5道练习题，附答案解析，供您备考练习。

1、The number of Nikko Bond Performance Index futures Sato must sell to rebalance the Tsushima pension fund to its target allocation is closest to:【单选题】

A.149.

B.1,594.

C.743.

正确答案:C

答案解析:The total value of the portfolio is ￥55.0 billion, and the 40% target allocation to bonds would be 

2、【单选题】

A.62

B.204

C.227

正确答案:C

答案解析:C is correct. The reduction in the stock allocation in the fund from 70% ($350 million) to 50% 

3、When implementing the shift from value to growth stocks for Client B, the number of S&P/Barra Value future contracts Allison shorts will be closest to:【单选题】

A.182.

B.177.

C.187.

正确答案:C

答案解析:To convert $22 million of the value-stock portfolio to cash (beta = 0) will require:

4、Given the committee's view about the sovereign debt crisis, which hedging strategy is most likely to result in Packer earning the US risk-free rate of return?【单选题】

A.Strategy 3

B.Strategy 1

C.Strategy 2

正确答案:C

答案解析:Shorting European stock market futures, selling euros, and buying US dollars will result in the Packer endowment fund earning the US risk-free rate.

5、Huanca’s comment about using options to manage the risk of his Urubamba common stock position is least likely correct regarding:【单选题】

A.return enhancements.

B.reduction of volatility.

C.establishing a minimum value.

正确答案:C

答案解析:C is correct because although a protective put establishes a minimum value for the position when the price of the underlying stock declines, a covered call does not. Therefore, Huanca’s statement is incorrect.