金程百題73頁 case1 第4題 為什么trainor說的不對(duì)？某些機(jī)構(gòu)如果focus在asset上面 就是asset-only方式，focus在負(fù)債 就用LDI。
BL model 到底是加入了投資者的觀點(diǎn)，還是分析師的觀點(diǎn)
老師您好， 這是asset allocation 的下午經(jīng)典題P71, 我想問一下statement2 怎么理解呢？謝謝
請(qǐng)問corridor width是什么意思呀，然后請(qǐng)老師給我講解一下這道題的解題思路
原版書課后題r13 第15題 箭頭畫的地方，input和output很混亂，能否幫忙總結(jié)一下，mvo和reverse的input和output分別是什么？
老師，為什么不選B
想請(qǐng)問基於Asset allocation reading，一個(gè)asset的volatility越大，the rebalance range 應(yīng)該要越小，但是這邊卻是說，"The size or width of the bands should consider the underlying volatility of each investment category to minimize transaction costs. This means more-volatile investment categories usually have wider rebalancing bands." 請(qǐng)問rebakance ranger 應(yīng)是越大還是越小?
2010年E 問：The risk of an investment in Chinese equities measured in U.S. Dollar terms is measured by the standard deviation of returns, 25.4%.為什么risk是用sd衡量呢，方差不行嗎？
這個(gè)shortfall risk涉及的知識(shí)點(diǎn)今年是不是沒了？safety ratio之類的
這里關(guān)于asset class分類需要diversified這一點(diǎn)不是很理解，diversified說的是分散化，也就是說asset class要盡量多吧？（但沒有說必須要把所有的asset class都包括吧）那我即使沒有包含某個(gè)class，也不能判定就是not diversified吧？
做TAA可以超出上下限嗎？
請(qǐng)問 reading 13 practice problem Q15 假設(shè)在實(shí)際上考試中，我應(yīng)該寫下哪些點(diǎn)可以拿到分?jǐn)?shù)呢? Q1. Compared with an MVO approach, weights of global market portfolio are input in a reverse optimization approach. Compared with an MVO approach, allocation of a reverse optimization approach will be more diversified. Q2. Return on Global Bonds = 2.0% ＋ (0.6) (5.5%) = 5.3% Return on US Equities = 2.0% ＋ (1.4) (5.5%) = 9.7% 如果這樣寫可以嗎?
請(qǐng)問 reading 13 Practice Problem Q2 Theoretically, higher-risk assets would warrant a narrow corridor because high-risk assets are more likely to stray from the desired strategic asset allocation. However, narrow corridors will likely result in more frequent rebalancing and increased transaction costs, so in practice corridor width is often specified to be proportionally greater the higher the asset class’s volatility. Thus, higher-risk assets should have a wider corridor to avoid frequent, costly rebalancing costs. 請(qǐng)問課本中是寫The higher the volatility, the narrower the optimal corridor. 哪個(gè)是正確的？
b問題講義里面沒有呀，這個(gè)要掌握嗎？
Case習(xí)題冊(cè)中冊(cè)P189，問題B中提到的Roy's safty-first criterion是不是在今年的考綱中刪去了（這個(gè)好像是一級(jí)的內(nèi)容但是想不起來了）？是否有了解或掌握的必要？問題D中提到了一個(gè)“conditional return correlation”的問題，這是個(gè)啥？是否有了解或掌握的必要？
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