老師好，請(qǐng)問 TWAP的算法，因不考慮成交量，只考慮成交價(jià)格，是否直接(p1 p2 ...Pn)/n即可，感謝老師。
這里有幾個(gè)問題不明白，請(qǐng)教一下老師，紀(jì)老師講到利率上漲了所以shift為負(fù)的，為什么利率上漲了shift是負(fù)的，為什么收益率曲線變flatter了slope是正的，而且收益率曲線變平坦說明長端利率下降，這個(gè)和利率上漲矛盾，請(qǐng)老師解釋一下謝謝
為什么curve effect是正的，紀(jì)老師講收益率曲線變flatter了curve effect才是正的，因?yàn)殚L期利率下跌所以effect才是正的，但這里的情況長期利率是上漲的呀，前面的duration effect是負(fù)的說明長期利率是上漲的，那么curve應(yīng)該是變steeper，curve effect應(yīng)該是負(fù)的呀
Broker performance metrics是個(gè)啥東西？原版書和ppt都沒有進(jìn)一步說明
請(qǐng)問Reading 36 課後練習(xí)題中 "18. Which of the following fee structures most likely decreases the volatility of a portfolio's net returns?" A. Incentive fees only B. Management fees only C. Neither incentive fees nor management fees 解答是 A is correct. Because incentive fees are fees charged as a percentage of returns (reducing net gains in positive months and reducing net losses in negative months), its use lowers the standard deviation of realized returns. Charging a management fee (a fixed percentage based on assets) lowers the level of realized return without affecting the standard deviation of the return series. 請(qǐng)問當(dāng) Portfolio's returns turn negative 是收不到 incentive fees 的，如何reducing net losses in negative months?
這里的AA和SS怎么算出來的沒講
請(qǐng)問 Reading 34 Practice Problems No.9"As it relates to the trade policy document, ValleyRise should implement Yellow's recommendation related to:" A. the list of eligible brokers. B. a policy for the treatment of trade errors. C. a policy for over-the-counter derivatives trades. 的答案為什麼是B呢? 課文中說 "All asset managers should have a trade policy document that clearly and comprehensively articulates the firm’s trading policies and escalation procedures (i.e., calling on higher levels of leadership or management in an organization to resolve issues when they cannot be resolved by standard procedures)." and "A trade policy document needs to incorporate the following key aspects: meaning of best execution, factors determining the optimal order execution approach, handling trading errors, listing of eligible brokers and execution venues, and a process to monitor execution arrangements."
選股的那個(gè)收益-0.05%是怎么計(jì)算'出來的？
2019年紀(jì)老師這一部分“畫矩形”縱軸起始點(diǎn)為R(B)而非零，我比較認(rèn)可紀(jì)老師的講法，向助教老師確認(rèn)縱坐標(biāo)到底以哪個(gè)老師為準(zhǔn)？
IS和trade execution包括的六種價(jià)格算法，這兩種方法有什么區(qū)別啊，都是在去算costs
老師第八題不清楚什么意思，麻煩解釋一下。謝謝
老師，9-10點(diǎn)占市場volume的50%，這個(gè)是怎么知道的呢，得事后才能知道吧
opening price和arrival price為什么是pre-trade benchmark呢，開盤時(shí)和下訂單的時(shí)候價(jià)格多少我也不知道啊，怎么就pre了呢？ price target benchmark是自己定的，這個(gè)感覺是交易之前定的啊
請(qǐng)問這道題里計(jì)算arrival cost時(shí)用的平均價(jià)格41.25是怎么來的呢？經(jīng)典題189頁
請(qǐng)問這個(gè)high-touch agency approch是個(gè)什么方法 為什么這個(gè)陳述不對(duì)呢
程寶問答
金程問答