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gzmpeter · 2024年01月27日

关于B选项

  1. CFA III
  2. Equity

NO.PZ2019012201000079

问题如下：

Which of following is correct regarding on Implementation Constraints?

选项：

A.

Twice the absolute risk will lead to twice the return.

B.

Markowitz efficient frontier shows that the relationship between return and risk is convex.

C.

There is a level of leverage beyond which volatility reduces expected returns.

解释：

C is corrent. Portfolios may face implementation constraints that decrease the IR if active risk increases beyond a specific level; Portfolios with high absolute risk targets face limited diversification opportunities, which may lead to a decrease in the SR. There is a level of leverage beyond which volatility reduces expected returns.

主要是说当杠杆过高，虽然可能会带来收益，但是风险也会增加，带来更大的波动，反而会降低收益。打个比方，昨天跌了10%，今天涨了10%，看起来好像是一样的。但是实际不是一回事，反而是亏损的（亏损1%），加杠杆后会进一步降低收益。

There may be constraints that prevent Manager A from scaling his active weights.So twice the absolute risk will not lead to twice the return, Markowitz efficient frontier shows that the relationship between return and risk is concave.

the relationship between return and risk is concave


如何理解这句话呢？

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1 个答案

笛子_品职助教 · 2024年01月27日

嗨，从没放弃的小努力你好：


主要是说当杠杆过高，虽然可能会带来收益，但是风险也会增加，带来更大的波动，反而会降低收益。打个比方，昨天跌了10%，今天涨了10%，看起来好像是一样的。但是实际不是一回事，反而是亏损的（亏损1%），加杠杆后会进一步降低收益。

如何理解这句话呢？

Hello，亲爱的同学~

举个例子，我们就亏50%，赚50%好了。

亏50%，赚50%，看起来没赚没亏。

但实际上，1万元资金，亏50%是5000元，还剩5000元。

接下来再赚50%，是5000元的基础上赚5000元，最终是7500元。

10000元，先亏50%，再赚50%，看起来是没赚没亏。

但是最后是7500元，实际上是亏钱了。

这就是这句解析的含义。


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