undefinable
2023-05-26 17:11關(guān)于conditional linear factor model這樣回答可以嗎
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
開開助教
2023-05-28 20:02
該回答已被題主采納
同學(xué)你好，這里之說(shuō)這個(gè)模型加了dummy variable是不夠的。
需要提到這兩點(diǎn)：
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.
因?yàn)橹魅斯腸oncern就是hedge fund有沒(méi)有在市場(chǎng)不好的時(shí)候增加對(duì)equity市場(chǎng)的敞口
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