Iris
2019-02-15 00:38The investment Committee at your firm has a longstanding practice of weighing alpha, among other factors and criteria, in its evaluation of external managers. However, a member voiced concern about the reliablilty of alpha in the context of certain strategies with known non-linear payoffs.The committee wants to better evaluate manager alpha in light of these non-linear strategies.Which of the following is most viable? A. One approach to accounting for nonlinear payoffs is to include tradeable nonlinear factors. C. The easiest way to compute tradeable alpha in the case of nonlinear payoffs is to include nonlinear terms, in particular quadratic terms, on the right-hand side of the factor regression; for example, r^2(t) or max[r(t),0] 想問下老師為什么C不對(duì) 另外，感覺二級(jí)的課能聽懂但是做題準(zhǔn)確率實(shí)在和一級(jí)的時(shí)候差太遠(yuǎn)，感覺特別擔(dān)心呢。。。二級(jí)的題目看上去感覺都對(duì)。。。
所屬：FRM Part II 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
Crystal助教
2019-02-18 11:38
該回答已被題主采納
同學(xué)你好，這個(gè)題目考察的是Alphas for Nonlinear Strategies的相關(guān)知識(shí)點(diǎn)，這里面其實(shí)是有兩個(gè)解決問題的方式A和C，但是這個(gè)題目中說的是最適合的一個(gè)，C選項(xiàng)雖然說的也是正確的，但是現(xiàn)實(shí)中實(shí)施起來還是很有難度的。所以最好的就是A選項(xiàng)。
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