老師，請問convexity究竟能不能衡量非平行移動(dòng)呢？前面那道題說是duration和convexity都是衡量平行移動(dòng)的 ，這道題又說通過convexity來衡量非平行移動(dòng)structural ？
用ResampleMVO可以嗎？
sell a covered call 的意思到底是S-C 還是C-S
麻煩老師再畫一下cash covered put的圖
這個(gè)rebate rate不對，collateral earining rate 的基數(shù)是擔(dān)保債券價(jià)值；security lending rate的基數(shù)是借入證券的價(jià)值，基數(shù)都不一樣，怎么能減
第二題要determine which firm，我選出firm a之后還需要再解釋為何firm A可以LINK嗎？還是只須答firm A就有分
Q4 提到的cross hedge中的correlation，是不是也可以理解為是一種basis risk？詳見沖刺筆記P237
Q1，為什么不是問的futures和forward之間哪個(gè)成本低？哪里可以看出是比較futures和現(xiàn)貨之間的成本？
第三題B也是平底，就是因?yàn)橛衏ash所以才沒限制向上潛力？
第三問考的是哪個(gè)考點(diǎn)
Monroe is retired and has $4.2 million of financial assets. One of Monroe's goals is to fund expected nominal expenditures of $120,000 in each of the next three years at a 95% required probability of success. Thompson suggests using a goals-based approach to construct a portfolio that meets this goal. She identifies a set of three available optimized sub-portfolio modules, as shown in Exhibit 1. She assumes that each year's expenditures will be a single year-end cash outflow.老師，為什么這題只需要考慮95%的收益，不需要考慮期望收益和波動(dòng)率？這個(gè)是考哪個(gè)知識點(diǎn)呢？
老師，這個(gè)excess return to mctr不是應(yīng)該是除以mctr嗎？為什么是除以21.63？
這里的9.06要怎么算到7.83?
疑問在答案，我看有的老師回復(fù)“保底是核心特征，封頂算完善補(bǔ)充”，那答案寫為“Carpenter management has a bonus-style fee with minimum and maximum fee feature that are close equivalent of a manager's call option on a share of active return”，這樣是不是更準(zhǔn)確？
這里的the MRR is reset semiannually 是什么意思，為何有了這句話我在題目計(jì)算時(shí)還需要扣掉MRR 的50BPS
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