NO.PZ2019042401000015
问题如下:
IRi is the information ratio of manager i and IRp is the information ratio of the total portfolio. Which of the following formulas represents the optimal weight managed by manager i ?
选项:
A. IRi×(manager’s tracking error)IRP×(portfolio’s tracking error)
B. IRp×(portfolio’s tracking error)IRi×(manager’s tracking error)
C. IRp×(manager’s tracking error)IRi×(portfolio’s tracking error)
D. IRi×(portfolio’s tracking error)IRp×(manager’s tracking error)
解释:
C is correct.
考点:optimal allocation across managers
解析:在基金经理之间进行最优资金配置时,应分配给manager i 的比例为 IRp×(manager’s tracking error)IRi×(portfolio’s tracking error)
要准确记忆公式。
请问这里的公式里的TE是不是要加上平方