Shrewsbury Case Scenario
R17第3題，T基金關(guān)注12個月increase in stock price不是增長嗎？
case6的第五題 這個算出來0.13%為什么是 delta YTM呢 怎么看出來的呢？volatility 是指的方差還是標(biāo)準(zhǔn)差呢？
如何理解業(yè)績均值回歸與一類錯誤之間的關(guān)系。
最后這道題，這是解釋的啥玩意兒？用這個A股美股的例子怎么解釋日數(shù)據(jù)呢？這里的非同步數(shù)據(jù)指的是異常值吧？一般是按照周數(shù)據(jù)、月數(shù)據(jù)來估計，但是用了日數(shù)據(jù)，會摻雜很多異常值，異常值導(dǎo)致相關(guān)性是低估的，對吧？
關(guān)于R27課后的Q40,怎么理解standard fee 和breakeven active return
和第一題題目相關(guān)，請問題干中，"checking account"以及"100000 home equity line of credit"分別指什么？
精 老師，你好，原版書fixed income部分，reading 12,325頁，有提到用swaption collar 進(jìn)行derivative overlay，這個知識點(diǎn)，好像授課老師和筆記上都沒有提到，你能否幫忙解答下？
Tryon is long several equity positions based on event-driven ideas that, over the next few quarters, are expected to have double-digit returns. He is concerned, however, that the equity market may decline as a result of lower corporate earnings. He believes investors are complacent as reflected in the historically low level of the volatility index (VIX). He wants to establish volatility exposure as a tail hedge for his holdings and notices the VIX futures curve is in contango. Tryon evaluates three potential trades to establish his hedge: Trade 1: Go long back-end month futures contracts on the VIX Index, with a gross notional equal to the portfolio market value. Trade 2: Sell a rolling series of out-of-the-money put options on VIX futures. Trade 3: Go long a variance swap, with vega notional equal to the potential equity portfolio loss. Which trade is Tryon most likely to implement to establish his equity market hedge?
精 保險這部分insurance value是什么？和net premium，gross premium什么關(guān)系呢？一開始net premium低，按理cash value應(yīng)該比較高，但由于保險公司的其他費(fèi)用，占用了cash value的金額，所以cash value才顯得小吧？但是這張圖顯示，age at endowment，cash value反而更大了，這怎么理解？原則上，年紀(jì)越大，應(yīng)該保費(fèi)多，現(xiàn)金價值小才對吧？
active management是偏向hedge還是不hedge
請問這句話為什么是錯誤的？Easily tracked indexes in asset classes similar to that of an illiquid asset often do not represent the non-idiosyncratic risk of the illiquid asset very accurately.
老師在什么情況下回使用asw呢
題目說decline instantaneously by 10bps,第一項OAS不應(yīng)該乘以t=0嗎？
老師您好，為什么momentum是最顯著的？
程寶問答
金程問答