老師好，麻煩再講一下case2的第5題，沒太繞過來，謝謝！
05年Q8題，為什么說100-age，不是120-age嗎？
2020年mockQuestuin8的partG的答案，Sharp ratio這個(gè)計(jì)算應(yīng)該不在考綱里了吧？
課上說resample mvo 解決了兩個(gè)問題，1.outputs 對(duì)于inputs敏感2.asset allocation過于集中 這里老師說resample 有兩個(gè)優(yōu)點(diǎn)，more stable 和more diversified，這是分別對(duì)應(yīng)的么？為什么？ 另外，這里說的交易頻繁會(huì)使transaction cost高，需要stable一些才好，這好像沒有啥直接關(guān)系吧
這里的inputs中的covariance是用來計(jì)算啥的哦
taa可以超出corridor嗎？
saa和TAA與CME是什么關(guān)系呢？
2014年的CD問不講嗎？
原版書后習(xí)題15題第一問，reverse optimization必須要用market cap作為權(quán)重來計(jì)算allocation嗎？其他因素是否可以？
2015 Q9 請問正式考試這樣寫可以嗎? A 1. The fund wants to construct a portfolio biased toward small-cap stocks. By choosing an equal-weighted index as a benchmark, which weights amount of positions in the index equally, the fund wont overweight return attributed to large caps. 2. The fund plans to set the position size between 3% to 5% for each position. With a small range of deviation in position size, using an equal-weighted index is suitable. B Objective 1 Hedged return with forward contact: 1.2065/1.1930 = 1.0113 or 1.13%; Unhedged return: 1.2045/1.1930 = 1.0096 or 0.96% 1.0113/1.0096 -1 = 0.17% or 17bps. Objective 1 cant be achieved by buying a 1-yr forward contract. Objective 2 Unhedged volatility: Variance: 5%^2 ＋ 15%^2 -2*15%*5%*-0.07 = 0.0239 Volatility: 0.0239^0.5 = 15.47% Hedged volatility: 15% 15.47% - 15% = 0.47% Objective 2 cant be achieved by buying forward contract. C 1. Aron should execute trade 2; 1.60 * 1.05 = 1.68 Aron should buy a call at 1.6 strike and sell a call at
請問reading 13 中 practice question 18 的 goal 2 PV值，如何用計(jì)算機(jī)算呢?
這個(gè)減號(hào)的后面結(jié)果是0.0576%，不是5.76%呀
resampled efficient approach 是什么方法,具體步驟是什么，為什么會(huì)有下述優(yōu)點(diǎn)？
老師，這里的兩個(gè)圖，前面多次出現(xiàn)，請問這個(gè)圖是如何構(gòu)建出來的呢？一直不太明白，也看不太懂
老師，這里講到把risk factor映射回資產(chǎn)，是如何映射的呢？這里沒有講，比較抽象
程寶問答
金程問答