金程問(wèn)答
請(qǐng)問(wèn)為什么risk factor里的風(fēng)險(xiǎn)因子low correlation with market?
這道題哪里有說(shuō)要求transaction cost 最小哦？ 另外，***老師復(fù)習(xí)課上說(shuō)，對(duì)于波動(dòng)大的資產(chǎn)，應(yīng)該減少range（壞孩子要管的嚴(yán)一點(diǎn)），這里risk 高的資產(chǎn)，不是意味著波動(dòng)大么，雖然從transaction cost的角度，的確應(yīng)該讓range大一些，但range大了，精確度和穩(wěn)定性就小了，這道題和洪老師的理論有沖突，該怎么辦
這里想問(wèn)一下，這里說(shuō)asset class 分類(lèi)沒(méi)有滿(mǎn)足diversify，但其實(shí)他按照equity和derivate分類(lèi)本身是沒(méi)有問(wèn)題的，只是放入資產(chǎn)的時(shí)候有問(wèn)題，所以這里應(yīng)該不能算分類(lèi)有問(wèn)題吧？ 所以討論asset class的問(wèn)題時(shí)，是只針對(duì)分類(lèi)本身去研究，還是連同asset class里面的資產(chǎn)一起研究？
請(qǐng)問(wèn)Asset allocation R 13 課后題8 comment 2 Yale model 是指的 institutional IPS里的 yale model嗎？
老師好，以圖中這個(gè)題i的答案為例，如果直接寫(xiě)lower transaction costs lead to narrower corridor width for equities,while higher correlation between fixed income and equities leads to wider corridor width. So we cannot determined its change. 就是完全省掉中間的解釋部分， 可以嗎？會(huì)不會(huì)太簡(jiǎn)單了？
老師，能不能幫忙解釋一下R14課后題第十題，沒(méi)怎么看懂
老師，這個(gè)為什么不選mutually exclusive?這兩個(gè)不是應(yīng)該互斥嘛？
這里的broad EUR fixed income里的broad是指全市場(chǎng)的意思？
這道題不用從government bond能更好的cover liability的return、volatility來(lái)答么
如何區(qū)分diversification和mutrally exclusive?
真題中的2016年的題目的第c問(wèn)，為什么帶杠桿預(yù)期的波動(dòng)率更低，一般不是有杠桿，風(fēng)險(xiǎn)更大，波動(dòng)更大嗎？
Asset Allocation 請(qǐng)問(wèn)實(shí)際上考試這樣寫(xiě)可以嗎? 2017 Q8 A AO 1. The foundation has no liability-like payments, but only minimum spending and an AO approach can minimize the likelihood of decline; ALM 1. There is a fixed amount of EUR 5mn to distribute yearly, which can bee seen as an obligation to pay. B 1. Assets in the same asset class should be homogenous. Private equity and real estate are not the same; 2. Asset classes should be mutually exclusive. Broad EUR fixed income is not different from EUR-denominated government bonds. C 1. Emerging market equities should be added into the current portfolio; 2. Sharpe ratio of new asset class > Sharpe ratio of current portfolio × correlation 0.481 > 0.538 × 0.79 => 0.481 > 0.425 D 1. Because the investment horizon of the foundation is a perpetuity, Monte Carlo is suitable for investment over a multi-period; 2. Monto Carlo can compute a path-dependent terminal value since the foundation is rebalanced every six months.
請(qǐng)問(wèn)“Provided each sub-portfolio lies along the same efficient frontier, the sum of the sub-portfolio will also be efficient” 中，CML與EF只有一個(gè)切點(diǎn)，而各子組合經(jīng)過(guò)MVO后均是各自Utility Curve與CML這條直線(xiàn)的切點(diǎn)，即數(shù)個(gè)optimal portfolios數(shù)個(gè)切點(diǎn)。 這些切點(diǎn)只可能在CML上, 為何這里寫(xiě)lies along the same EF呢？ 是否這里的efficient就是指optimal, 而lies along應(yīng)理解為“基于”而不是“沿著”或者“在EF線(xiàn)上”
老師您好，能否解答下第四題的選項(xiàng)c為何錯(cuò)誤呢，答案也沒(méi)太看懂，不是太清楚below the target weight 或者above 是否都需要調(diào)整呢，和稅有何關(guān)系，感謝。
老師，Goal-based，Hedging-Return-seeking和Risk parity portfolio 這三種AA不是基于Mean Variance Optimization理論了是吧？因?yàn)樽詈罂偟腜ortfolio不在Efficient Frontier上了呀
程寶問(wèn)答
