請問看portfolio整體的volatility是否減小不是應(yīng)該看新配置的asset和原來的portfolio之間的correlation是大還是小嗎？ 如果之間的correlation大的話，配置一部分過去的話應(yīng)該會讓volatility增大呀？ 第三題
請問可以總結(jié)一下return-based和holding-based各自的優(yōu)缺點嗎？ 謝謝
想問下老師 最后一題的第三個方面：Third, I have a disciplined trading strategy with firmly established stop-loss rules to avoid holding unbalanced portfolios. 這點是否是對于loss-aversion bias的解決呢？
計算peg ratio，除g時，g數(shù)值不帶%嗎？
這樣計算正確嗎？不需要考慮ABCD之間的相關(guān)系數(shù)嗎？題上也沒給出相關(guān)系數(shù)
老師，劃問號的這句話怎么理解？謝謝
select high turnover
老師，active share專指idiosyncratic 部分風(fēng)險的來源么？考試時能這樣映射么？
老師，這里橫縱坐標(biāo)中mkt和mkt不應(yīng)該是1嗎？怎么是0.00109
老師，個股與組合的協(xié)方差，乘以權(quán)重，等于個股的風(fēng)險貢獻(xiàn)絕對值？
課后題R18第6題
和指數(shù)相關(guān)系數(shù)低為什么一定就系數(shù)小？系數(shù)是因子和portfolio關(guān)系吧？
老師，您好，增加一個portfolio降低原來composite 的active risk ，只考慮相關(guān)性嗎，不考慮portfolio本身的active risk嗎？怎么思考呀，謝謝啦
老師，您好，這個題怎么思考呀，問題如下，謝謝啦，The fund in Exhibit 3 that is most consistent with Quint’s requirements is: Ash. Blue. March.
老師，您好，為啥不是return-oriented，答案也說了有這個。問題：From Exhibit 2, MultiFAK’s primary strategy is most likely: risk reduction. diversification. return oriented./答案A is correct. MultiFAK uses a risk reduction strategy. It overweights low volatility (31% versus 28%), which is a risk reduction approach; underweights momentum (14% versus 17%), which is a return-oriented approach; and uses fewer securities (91 versus 100) overall than the index, which is not a diversification approach.
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