為什么ss4的視頻找不到了？
這里rebalancing 相當(dāng)于short volatility，沒有聽明白，請解釋一下～
老師好, 官方Mock下午題第21題和百題Case 1第6題, 前者說emerging market的equity是被包含于global market equity的, 后者說是不被包含于global market equity的. 所以是包含還是不包含?
這道題B選項，大學(xué)基金為什么不能投新興市場證券？而且題目也沒有說這個endowment是保守的基金啊
Asset Allocation 2016 Q4 請問考試中這樣寫可以嗎? A 1. We should choose two corner portfolios with the highest sharp ratios, which can synthesize to the required rate of return; they are portfolio 3 and 4. 2. 8.6x – 7.65(1-x) = 8; x = 36.8%; The advisor should allocate 36.8% of capital to portfolio 3 and 63.25% of capital to portfolio 4. B 1. The advisor should suggest the investor to leverage a portfolio with the highest sharp ratio, which is portfolio 4, to achieve the required rate of returns. 2. 7.65x ＋ 0.5(1-x) = 8; x = 1.049. The investor should leverage 1.049 times of portfolio 4. C 1. Unleveraged SAA combines two risky assets together which have a positive correlation and will increase expected volatility. However, leveraged SAA combines a risky asset with a risk-free asset, offering lower expected volatility.
ALM相對于AO的優(yōu)勢有哪些，我看答案里寫的是圖片里，所有的優(yōu)勢有哪些？
請問老師如何理解蒙特卡洛模擬的path dependent?
第7題，文章最后一段說是externally management alternative assets，是由外包的第三方來進(jìn)行管理啊，和這個fund自己的manager他limited experience沒有關(guān)系啊，用這個來判斷不對吧
請問一下，在區(qū)分asset class時，mutually exclusive 和diversifying應(yīng)該怎么分別？互斥不就是說明資產(chǎn)大類之間相關(guān)性很低嗎？如果上午題直接寫Asset classes should be mutually exclusive and diversifying可以嗎？
reverse optimization中， weighting，方差，協(xié)方差推出E(R)，再用E(R)，方差，協(xié)方差，推出weighting，不就是原來那個global portfolio的weighting嗎？
老師請問 high correlation不就是組合標(biāo)準(zhǔn)差越高，就波動性越高，那對于high correlation設(shè)wide rang，對于high volatility設(shè)narrow range是不是有點矛盾
請問 long small-cap stock / short large-cap stock，是提取了 小盤股的風(fēng)險因子嗎？
3題為什么不選B？ 是因為emerging market equity已經(jīng)達(dá)到目標(biāo)權(quán)重了嗎？
老師，能否詳細(xì)解釋一下書本151頁，第十三題答案是什么意思？This results from the fact that the factors typically represent what is referred to as a zero (dollar) investment or self- financing investment, in which the underperforming attri-bute is sold short to finance an offsetting long position in the better- performing attribute. Constructing factors in this manner removes most market expo-sure from the factors (because of the offsetting short and long positions)不太理解？為什么會和zero investment，self-financial investment long/short 有關(guān)系？
2018 5-B 遺產(chǎn)那個題： 我不明白community和forced不互斥的話，那在第二問中，配偶要選第幾種方式??？ 在第二問中小孩選forced，配偶選community，那會不會發(fā)生錢不夠?。?反正，這個機(jī)制我還是不明白啊。。。 求解答，多謝！
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