金程問(wèn)答
請(qǐng)?jiān)僭斒鲆幌翾1Statement為什么是對(duì)的
精 請(qǐng)問(wèn)什么情況下會(huì)使用pre-trade/intraday/post-trade/price target benchmarks?
C怎么不對(duì)？
partial VaR是啥意思，衡量的是什么？
這一題中的" Spintop states that the Fund has an annual spending policy of paying out 4% of the Fund’s three-year rolling asset value to Wolf University“，回報(bào)率要求4%指的是real的回報(bào)率？考試中如果沒(méi)有說(shuō)明的話，也是特指真實(shí)回報(bào)率嘛？如果是名義回報(bào)率，一定會(huì)在題目中寫(xiě)明norminal是嗎？
精 第一題完全沒(méi)提3個(gè)concern，為什么不圍繞三個(gè)concern來(lái)說(shuō)呢？
計(jì)算的20天的yield volatility是1.5%*根號(hào)20，為啥還要處以100，yield的month sd不就應(yīng)當(dāng)是6.7%嗎？然后當(dāng)顯著性=1%時(shí)，乘以2.33，就是偏離yield 均值3%的距離15.63%，因此當(dāng)duration=12時(shí)，delta P/P = -12*15.63% = -1.875，這意味為VaR = 187.5millon，這是沒(méi)意義的吧，因?yàn)槲襩ong的債券，最多就是虧100million呀？
為什么OTM，implied volatility 大？這個(gè)怎么理解
請(qǐng)問(wèn)老師137頁(yè)的例題出自哪里？聽(tīng)了半天沒(méi)有聽(tīng)懂Tom老師講的，想找到出處結(jié)合上下文看一看原題，謝謝
你好 第二題沒(méi)明白題干問(wèn)的是什么意思
請(qǐng)問(wèn)Reading 36 課後練習(xí)題中 "18. Which of the following fee structures most likely decreases the volatility of a portfolio's net returns?" A. Incentive fees only B. Management fees only C. Neither incentive fees nor management fees 解答是 A is correct. Because incentive fees are fees charged as a percentage of returns (reducing net gains in positive months and reducing net losses in negative months), its use lowers the standard deviation of realized returns. Charging a management fee (a fixed percentage based on assets) lowers the level of realized return without affecting the standard deviation of the return series. 請(qǐng)問(wèn)當(dāng) Portfolio's returns turn negative 是收不到 incentive fees 的，如何reducing net losses in negative months?
這道題前面不是說(shuō)LP是客戶(hù)是投資人嗎？怎么這里L(fēng)P又變成基金經(jīng)理了？此外LPGP這種結(jié)構(gòu)是只適用于PE投資還是適用于HF、PE等另類(lèi)投資？
第3題，不能確定未來(lái)US equity return的金額所以用forward不能completely hedge，用futures就可以是因?yàn)槟J(rèn)equity index futures會(huì)和US equity呈現(xiàn)完全一致的變動(dòng)，相關(guān)系數(shù)為1嗎？但是持倉(cāng)股票和指數(shù)本身并不是完全一致啊，那不是也和forward一樣，開(kāi)始確定的份額隨著股票漲跌不能做到completely hedge嗎？
global integration
這里為什么第一個(gè)是type 2 error，第二個(gè)是type 1 error？Eta現(xiàn)在表現(xiàn)不好，均值回歸的情況下以后會(huì)表現(xiàn)好，所以應(yīng)該選擇它但是拒絕了它，這不是拒真（type 1）嗎？theta現(xiàn)在表現(xiàn)好，均值回歸下以后會(huì)表現(xiàn)差，應(yīng)該拒絕但沒(méi)拒絕不是取偽（type 2）嗎？所以這題的H0是什么？
程寶問(wèn)答
