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WendyW · 2023年05月05日

Measurement error

fixed income官网习题Pavonia Case Scenario

其中一题,题目相关信息是:

Adams states, “Generally when we evaluate similar situations, we will use a passive, as opposed to an active, management strategy for the fixed-income portfolio, which means the risk of measurement error will be greater than asset liquidity risk.”

问题是:

Is Adams is most likely correct in her assessment of measurement error?

  1. Yes
  2. No, because passive management would preclude measurement error
  3. No, because asset liquidity risk is greater than the risk of measurement error

Solution

A is correct. Measurement error for Asset BPV can arise even in the classic passive immunization strategy for Type I cash flows, which have set amounts and dates. Asset liquidity can become a risk factor in strategies that add active investing to otherwise passive fixed-income portfolios and would not be applicable here.

题干中“the risk of measurement error will be greater than asset liquidity risk”是指什么?可否讲解本题,我没明白问题也没明白答案。。。

2 个答案

pzqa015 · 2023年05月06日

嗨,努力学习的PZer你好:


这句话的意思是说,对于passive投资来说,更重要的是measurement error(the risk of measurement error will be greater than asset liquidity risk),而对于主动管理来说,更重要的是liquidity risk,这句话是没问题的,可以当成结论记一下。

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努力的时光都是限量版,加油!

pzqa015 · 2023年05月06日

嗨,努力学习的PZer你好:


measurement error是指免疫过程中各种假设带来的风险,比如,我们假设组合中只有债券有久期,股票和衍生品无久期;对于DB plan,计算PBO的过程中,各种假设参数等等。免疫是passive 投资。

liquidity risk是指不能及时以意向价格买入或卖出相应资产的风险。


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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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