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执瑞 Zhirui · 2024年05月17日

没懂这题解题思路

NO.PZ2018091701000114

问题如下:

Consider a active management strategies: individual stock selection with a benchmark composed of 100 securities, IC = 0.05.

The active security returns are uncorrelated, and forecasts are independent from year to year.

The breadth of this active management strategy is closest to:

选项:

A.

100

B.

5

C.

0.05

解释:

A is correct.

Given that the active asset returns in strategy are uncorrelated, and forecasts are independent from year to year, the breadth of the strategy is BR = 100

没懂这题解题思路…………

1 个答案

品职助教_七七 · 2024年05月18日

嗨,从没放弃的小努力你好:


这道题求BR,BR是基金经理独立预测的次数。如果他的每次选股的决策都是独立的,则股数就是BR数。

本题提示的“The active security returns are uncorrelated, and forecasts are independent from year to year”就是每次选股都基于独立预测,所以此时BR就是股数100.

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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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