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- 9/28/08
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Hello all, I am new here. I am doing my MBA(Fin) and am right now in the second year. Would greatly appreciate if some of you could have a look at the following questions and give your comments. I'll post the answers soon. 
1. The payoff of some hedge fund strategies is commonly identified with the payoff of option strategies.
The payoff of a long look-back straddle correspond best to the payoff of
a. A trend following strategy.
b. A fixed-income arbitrage strategy.
c. A fixed-income convergence strategy.
d. A spread trading strategy.
2. Which of the following is not a limitation of using the Capital Asset Pricing Model to measure equity
requirements for operational risk?
a. Measurement error in separately measuring levered and un-levered beta.
b. Time lags in variables like tax and regulation being reflected in historical beta estimates.
c. Requires detailed knowledge of profit and loss accounting to go from beta to a specific measure
of operational risk.
d. All of the above.
1. The payoff of some hedge fund strategies is commonly identified with the payoff of option strategies.
The payoff of a long look-back straddle correspond best to the payoff of
a. A trend following strategy.
b. A fixed-income arbitrage strategy.
c. A fixed-income convergence strategy.
d. A spread trading strategy.
2. Which of the following is not a limitation of using the Capital Asset Pricing Model to measure equity
requirements for operational risk?
a. Measurement error in separately measuring levered and un-levered beta.
b. Time lags in variables like tax and regulation being reflected in historical beta estimates.
c. Requires detailed knowledge of profit and loss accounting to go from beta to a specific measure
of operational risk.
d. All of the above.
