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坏呼呼嘿嘿 · 2023年07月23日

请问这题说了个啥,需要背吗

NO.PZ2023010407000020

问题如下:

Jane Shaindy is the chief investment officer of a large pension fund. The pension fund is based in the United States and currently has minimal exposure to hedge funds. The pension fund’s board has recently approved an additional investment in a long/short equity strategy. As part of Shaindy’s due diligence on a hedge fund that implements a long/short equity strategy, she uses a conditional linear factor model to uncover and analyze the hedge fund’s risk exposures. She is interested in analyzing several risk factors, but she is specifically concerned about whether the hedge fund’s long (positive) exposure to equities increases during turbulent market periods.

Describe how the conditional linear factor model can be used to address Shaindy’s concern.

解释:

A linear factor model can provide insights into the intrinsic characteristics and risks in a hedge fund investment. Since hedge fund strategies are dynamic, a conditional model allows for the analysis in a specific market environment to determine whether hedge fund strategies are exposed to certain risks under abnormal market conditions. A conditional model can show whether hedge fund risk exposures to equities that are insignificant during calm periods become significant during turbulent market periods. During normal periods when equities are rising, the desired exposure to equities (S&P 500 Index) should be long (positive) to benefit from higher expected returns. However, during crisis periods when equities are falling sharply, the desired exposure to equities should be short (negative).

请问这题说了个啥,需要背吗

1 个答案

伯恩_品职助教 · 2023年07月24日

嗨,努力学习的PZer你好:


可以不背。这个基本没考过。也很虚

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