金程問(wèn)答
精 R18課后題第7題，trade 1是trade back to benchmark weight, AS=0; trade 2 完成之后AS=1%，不應(yīng)選C嗎？
精 Q1，答案上說(shuō)的是free-floating adjustment more accurately reflects its actual liquidity, 這個(gè)流動(dòng)性不增不減的意思么？為什么老師說(shuō)是流動(dòng)性增加？
精 為什么B不對(duì)呢？active risk 來(lái)自于兩部分，一個(gè)是factor exposure 還要是active share；如果factor exposure is fully neutralized, active risk 完全是來(lái)自于active share。我認(rèn)為B是正確的。The active risk attributed to Active Share will be smaller in more diversified portfolios. 這句話怎么理解？
精 L3V3 P362, why does a negative coefficient on the Size factor indicate a large-cap bias?
精 為什么要選擇covariance高的?不利于分散化把？
精 原版書(shū) 158頁(yè) example 2，為什么不能用 Geography/economic activity segmentation？
精 原版書(shū) 249 reading17： sector neutralized price momentum factor 這是什么意思？
精 官網(wǎng)題，Basis risk results from using a hedging instrument that is imperfectly matched to the investment being hedged. Basis risk can arise when the underlying securities pay dividends, because the futures contract tracks only the price of the underlying index. Stock splits do not affect investment performance comparisons。basis risk如何理解，期貨與現(xiàn)貨之間的價(jià)格變動(dòng)差異？
精 stratified sampling 和 Optimization 有什么區(qū)別？
程寶問(wèn)答
