金程問(wèn)答
精 請(qǐng)問(wèn)event driven strategy is exposed to equity market beta risk ,怎么理解呢？
精 什么叫manager-specific operational risks.？
精 請(qǐng)問(wèn)老師，liquid alternative investment指的是什么，和傳統(tǒng)認(rèn)知的alternative investment有什么區(qū)別
精 為什么說(shuō)public real estate是highly liquid的？
精 我認(rèn)為equity market neutral 并不會(huì)有很高的turnover ratio。neutral的頭寸靠leverage去增加收益，并不會(huì)頻繁買賣。
精 請(qǐng)問(wèn)： Mukilteo examines an opportunistic strategy implemented by one of the hedge funds under consideration. The hedge fund manager selects 12 AAA rated corporate bonds with actively traded futures contracts and approximately equal durations. For each corporate bond, the manager calculates the 30-day change in the yield spread over a constant risk-free rate. He then ranks the bonds according to this spread change. For the bonds that show the greatest spread narrowing (widening), the hedge fund will take long (short) positions in their futures contracts. The net holding for this strategy is market neutral. 之所以會(huì)take long position是因?yàn)樗麄僺pread has narrowed 所以會(huì)bounce back 所以long 他們？ 我沒有理解， spread narrow 不是意味著債券價(jià)格升高嗎，那為什么還會(huì)long 呢？
精 另類第一題 啥時(shí)候回答有關(guān)dummy variable的知識(shí)點(diǎn)？
精 對(duì)于merge arbitrage策略，為何一方面具有Left-tail的特征，另一方面還具有較高的sharpe ratio?
精 第7題，聽了N遍，不懂什么意思？什么LP防止GP做什么，不理解
精 紀(jì)老師舉的可轉(zhuǎn)債套利的例子，理解起來(lái)很簡(jiǎn)單啊，并沒有用到什么delta hedging，gamma trading啊
精 老師好， alternatives R20 寫作題AEFheah group 第二小問(wèn) 我選的risk approach，因?yàn)轭}目中說(shuō)了IC’s goal is diversifying portfolio with alter assets. risk factor不是可以avoid investing into two high correlated asset classes的嗎？ 謝謝老師
精 老師您好，百題case4的第三題：hege fund和equity的return都下降，為什么增加投資？第四題：為什么選A？感覺B和C也滿足要求。
精 另類投資，原版書，159頁(yè)，Portfolio D的 99% CVaRs 并沒有超過(guò)20%，為什么選D？
精 錯(cuò)題 global macro 不是有異質(zhì)性嗎？所以為了放大收益會(huì)加杠桿嗎？這個(gè)是不是錯(cuò)了。
精 請(qǐng)問(wèn)這里可以詳細(xì)再解釋下么，關(guān)于管理費(fèi)大于總收益，generate_negative_return這個(gè)部分
程寶問(wèn)答
