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2022-06-04 17:29另類第一題 啥時候回答有關dummy variable的知識點？
所屬：CFA Level III > Alternative Investments for Portfolio Management 視頻位置 相關試題
來源： 視頻位置 相關試題
1個回答
開開助教
2022-06-06 11:30
該回答已被題主采納
同學你好，雖然說conditional factor risk model中用到了dummy variable，但這題主要體現(xiàn)的是conditional risk factor model的應用，不用特別提到dummy variable。
寫的時候，要表達出兩點：
1、conditional factor model can show whether risk exposures to equities become significant during turbulent market times while they are insignificant during normal times.
2、Equity exposure should be negative during turbulent market times, otherwise it will generate significant loss.
【點贊】喲~。加油，祝你順利通過考試~
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