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mosquito三颗猫 · 2022年07月11日

如何看出X和Z有similar cost

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NO.PZ201809170400000605

问题如下:

Based on Exhibits 2 and 3, which portfolio best exhibits the risk characteristics of a well-constructed portfolio?

选项:

A.

Portfolio X

B.

Portfolio Y

C.

Portfolio Z

解释:

A is correct. Well-constructed portfolios should have low idiosyncratic (unexplained) risk relative to total risk. Portfolio Y exhibits extremely high unexplained risk relative to total risk, and Portfolios X and Z have low unexplained risk relative to total risk. Therefore, Portfolio Y may be eliminated.

Portfolios X and Z have comparable factor exposures. In comparing portfolios with comparable factor exposures, the portfolio with lower absolute volatility and lower active risk will likely be preferred, assuming similar costs. Portfolio X has lower absolute volatility and lower active risk than Portfolio Z, although both have similar costs.

Finally, for managers with similar costs, fees, and alpha skills, if two products have similar active and absolute risks, the portfolio having a higher active share is preferred. Portfolio X has lower absolute volatility, lower active risk, and higher active share than Portfolio Z. As a result, Portfolio X best exhibits the risk characteristics of a well-constructed portfolio.

如何看出X和Z有similar cost

1 个答案

笛子_品职助教 · 2022年07月12日

嗨,从没放弃的小努力你好:


如何看出X和Z有similar cost

这是默认的。


Portfolios X and Z have comparable factor exposures. In comparing portfolios with comparable factor exposures, the portfolio with lower absolute volatility and lower active risk will likely be preferred, assuming similar costs. 


这里是说,假设成本相似,在相同的factor exposure时,要选择低active risk或低volatility的

这是well construction portfolio的定义。

在做well construction portfolio的题目时,默认有similar cost假设。


见基础讲义208页

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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