NO.PZ2019042401000001
问题如下:
Which of the inputs into the portfolio construction process can be measured with certainty:
选项:
A.position alphas.
B.covariance estimates.
C.current portfolio.
D.transaction cost.
解释:
C is correct.
考点:inputs into the portfolio construction process
解析:Current Portfolio是唯一一个可以直接观察到的input,因此是唯一一个certain input。Alphas, Covariance & Transaction Costs 可能有误,不是certain的。因此,选项C正确。
如题。根据讲义,current portfolio是确定的,transaction cost, covariance, and alpha都可能有error,那active risk aversion呢?