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2022-06-04 17:29另類(lèi)第一題 啥時(shí)候回答有關(guān)dummy variable的知識(shí)點(diǎn)？
所屬：CFA Level III > Alternative Investments for Portfolio Management 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
開(kāi)開(kāi)助教
2022-06-06 11:30
該回答已被題主采納
同學(xué)你好，雖然說(shuō)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(yīng)用，不用特別提到dummy variable。
寫(xiě)的時(shí)候，要表達(dá)出兩點(diǎn)：
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(diǎn)贊】喲~。加油，祝你順利通過(guò)考試~
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