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kanjani · 2024年04月02日

分母为什么要乘mdv

NO.PZ2019042401000066

问题如下:

A hedge fund manager is concerned about a potential increase in investor redemptions and wants to assess the effects of such an event on the fund’s liquidity. The manager asks a junior analyst to estimate the average number of days required to liquidate certain securities in the fund. The analyst uses the information presented below to make this estimation for four securities:


Which of the four securities listed above is expected to take the longest to liquidate?

选项:

A.

Security A

B.

Security B

C.

Security D

D.

Security C

解释:

A is correct. We calculate the liquidity duration (LDi) of each security as shown below:


where;

Qi: Number of shares held in security i

MDV: Maximum daily volume allowed for liquidation of security i (expressed as a percentage of average daily volume)

Vi: Average daily volume of security i

Security A has the highest liquidity duration and will take the longest to liquidate.

跟课件上给的公式有什么不一样的

1 个答案

品职答疑小助手雍 · 2024年04月04日

同学你好,书上公式相当于是假定了一个MDV=0.15 这题就是把每个股票的MDV细化了。

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