阮同學(xué)
2022-10-24 20:13所以這道題答案錯(cuò)了？選A？
所屬：FRM Part II > Risk Management and Investment 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
Michael助教
2022-10-27 16:33
該回答已被題主采納
學(xué)員你好，選擇B，第一個(gè)說(shuō)法和第三個(gè)說(shuō)法是正確的。
Tracking error volatility is defined as the standard deviation of the difference between the returns on a portfolio and the benchmark portfolio. So Statement I is correct.
Optimal allocation is not only dependent on information ratios but also on the tracking errors volatility. So Statement II is incorrect.
Any difference (in case of less than 100% optimal allocation) can be assigned to the benchmark portfolio. Therefore, Statement III is correct and IV is incorrect.
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回復(fù)Michael：講解視頻里不是說(shuō)a是錯(cuò)的嗎，在風(fēng)險(xiǎn)預(yù)算里的trackingerror等于rp-rb
