買同學(xué)
2022-02-24 23:05老師好關(guān)于REBALANCE,流動(dòng)性差的資產(chǎn)這一段怎么理解啊However, rebalancing of an illiquid asset may be affected indirectly when a highly correlated liquid asset can be traded or when exposure can be adjusted by means of positions in derivatives. For example, public equity could be reduced to offset an overweight in private equity. Rebalancing by means of highly correlated liquid assets and derivatives, however, involves some imprecision and basis risk.
所屬：CFA Level III > Asset Allocation and Related Decisions in Portfolio Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
Johnny助教
2022-02-25 09:30
該回答已被題主采納
同學(xué)你好，流動(dòng)性很差的資產(chǎn)會(huì)產(chǎn)生高昂的交易成本，于是在對(duì)它們進(jìn)行rebalance時(shí)就會(huì)有較大的成本產(chǎn)生。對(duì)此可以通過調(diào)整與之高度相關(guān)的高流動(dòng)性資產(chǎn)或衍生品來間接地進(jìn)行再平衡，比如Private equity和public equity的相關(guān)度很高，如果我們想下調(diào)private equity的權(quán)重但是又擔(dān)心交易成本，那么可以通過下調(diào)public equity的權(quán)重來進(jìn)行替代，但是這種方式并不精確。
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