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dognmnm · 2023年03月29日

题目中的relative and absolute risk

NO.PZ2020020202000017

问题如下:

An analyst notes that the fixed-income portfolio manager has strong views about the effects of macroeconomic factors on credit markets and follows a top-down investment process. According to this, the most appropriate risk attribution approach for the fixed-income manager is to

选项:

A.

decompose historical returns into a top-down factor framework.

B.

evaluate the marginal contribution to total risk for each position.

C.

attribute tracking risk to relative allocation and selection decisions.

解释:

C is correct.

The portfolio is managed against a benchmark, which indicates a relative-risk type of risk attribution analysis. For a top-down investment approach, the analysis should attribute tracking risk to allocation and selection decisions relative to the benchmark.

老师上课说主要题目都是问relative risk这样的结论来记吗? 次题目根本没有讲到相对风险跟绝对风险时, 我就默认是相对风险?

2 个答案

吴昊_品职助教 · 2023年03月30日

嗨,爱思考的PZer你好:


大部分是relative,这个结论没有问题。考试的时候不会出现如此不严谨的情况,不提及relative或者absolute就让我们选。如果真的遇到这种情况,那就只能排除法选最优解了。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

吴昊_品职助教 · 2023年03月30日

嗨,爱思考的PZer你好:


原版书题目出的不好,没有交代清楚benchmark是否存在,所以我们只能通过排除法进行选择。

A选项说的是分解return,这和题干risk attribution不符。

B选项错在最后“each postion”,top-down方法不能是each postion,这是bottom-up方法对应的描述。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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2023-06-06 16:10 1 · 回答

怎么排除a和b?

2020-07-18 16:14 1 · 回答

您好,此题答案说有个benchmark,从哪里看出有benchmark?

2020-05-23 18:03 1 · 回答