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和棋 · 2022年07月11日

请问这道题考点在哪，感觉像Equity的题目

  1. CFA III
  2. Asset Allocation

NO.PZ2018110601000021

问题如下：

Which of the following statement regarding factor-based asset allocation is least appropriate?

选项：

A.

Factors are typically based on market premiums and anomalies

B.

A common way to construct factors is self-financing investment.

C.

Factors are typically different from the fundamental or structural factors used in multi-factor models.

解释：

C is correct

考点：factor-based asset allocation

解析：Fama-French三因素模型是典型的factor-based asset allocation，既包含market premium，又包含size和book-to-market两个基本面因子（fundamental factors/ anomalies）。构建这些因子的方法是self-financing investment，或者称作zero dollar investment，例如：Size factor return=Small-cap stock return−Large-cap stock return。

请问这道题考点在哪，感觉像Equity的题目

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1 个答案

lynn_品职助教 · 2022年07月11日

嗨，爱思考的PZer你好：


考点是factor-based asset allocation，AA的reading5，框架图（强化班讲义）第9页，原版书第一本第324页。

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