Q6和expected return & volatility的數(shù)據(jù)都沒關(guān)系么
隱含波動率是怎么用市場的價格反推推出來的呢？
原題里infrastructure沒有增加啊，是減少了
請問老師，投委會作為決策層，其投委會老大居然是執(zhí)行層的，難道不存在問題嗎？
這個地方?jīng)]太懂，ACTRi=Wi*βi*SigmaP；Wi*βi*SigmaP又=1/n*SigmaP，那么Wi*βi=1/n這個是什么含義什么東西？
講義64頁example 中 asset class contribution這塊老師沒講，能不能講一下，謝謝
Some of the key considerations for insurance companies are risk-based capital measures, yield, liquidity, the potential for forced liquidation of assets to fund negative claims development, and credit ratings. 這句話請問能不能解釋一下
When asset allocation considers such extended portfolio assets as human capital, the optimal allocation of financial capital can change through time. - human capital怎么理解
When asset allocation considers such extended portfolio assets as human capital, the optimal allocation of financial capital can change through time.
老師說組合總風(fēng)險是10.88%？ 為什么？ MCTR和AMCTR 代表不是marginal contribution嗎？ 我的理解是表示增加1% asset size帶來的 additional risk
(1). Rebalancing and taxes: In the multi-period world, rebalancing triggers the realization of capital gains and losses. Given a specific rebalancing rule, different SAAs will result in different patterns of tax payments.
股價上升，是long call 方以低價買入的權(quán)力，即short call低價賣出的義務(wù)，那么short 方應(yīng)該是虧錢的，反之股價下跌，是long put高價賣出的權(quán)利，即short put 高價買入的義務(wù)，short 也是虧錢不是嗎？ 怎么說rebalance earn return from being short volatility呢
這道題 5/8 of total risk comes from equity asset classes and 3/8 comes from fixed-income - equity和fixed income的 占比是不是反了？
Individual manager selection is an implementation and execution decision designed to achieve strategic decisions made by the investment committee and is typically not a strategic decision itself. - 能否解釋一下，為什么manager selection made by investment committee ?
Include less liquid asset classes in the asset allocation decision and attempt to model the inputs to represent the highly diversified characteristics associated with the true asset classes. 這句話請問怎么理解
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