陳同學(xué)
2022-10-30 22:49視頻講解錯(cuò)了?第一句話關(guān)于風(fēng)險(xiǎn)預(yù)算的定義是對(duì)的?
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
Lucia助教
2022-11-03 14:59
該回答已被題主采納
沒(méi)錯(cuò)哦，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 incorrect.
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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