问一道题：NO.PZ2016071602000024 [ FRM II ]

NO.PZ2016071602000024 问题如下 For a portfolio of illiquiassets, hee funmanagers often have consirable scretion in portfolio valuation the enof eamonth anmhave incentives to smooth returns marking values below actual, in high-return months anabove actual, in low-return months. Whiof the following is not a consequenof return smoothing over time? A.Higher Sharpe ratio B.Lower volatility C.Higher sericorrelation Higher market bet is correct. Illiquity creates unrstatement of the totrisk measure; a result, the Sharpe ratio will artificially higher. Illiquity creates tren in returns (higher sericorrelation), market shocks ring a month will partially recorin two consecutive months. Illiquity, however, biases the market beta wnwar 如题

NO.PZ2016071602000024 问题如下 For a portfolio of illiquiassets, hee funmanagers often have consirable scretion in portfolio valuation the enof eamonth anmhave incentives to smooth returns marking values below actual, in high-return months anabove actual, in low-return months. Whiof the following is not a consequenof return smoothing over time? A.Higher Sharpe ratio B.Lower volatility C.Higher sericorrelation Higher market bet is correct. Illiquity creates unrstatement of the totrisk measure; a result, the Sharpe ratio will artificially higher. Illiquity creates tren in returns (higher sericorrelation), market shocks ring a month will partially recorin two consecutive months. Illiquity, however, biases the market beta wnwar 老师能不能详细讲解一下这道题的思路，看到之后完全没感觉，不知道用哪个知识点去解答

NO.PZ2016071602000024 问题如下 For a portfolio of illiquiassets, hee funmanagers often have consirable scretion in portfolio valuation the enof eamonth anmhave incentives to smooth returns marking values below actual, in high-return months anabove actual, in low-return months. Whiof the following is not a consequenof return smoothing over time? A.Higher Sharpe ratio B.Lower volatility C.Higher sericorrelation Higher market bet is correct. Illiquity creates unrstatement of the totrisk measure; a result, the Sharpe ratio will artificially higher. Illiquity creates tren in returns (higher sericorrelation), market shocks ring a month will partially recorin two consecutive months. Illiquity, however, biases the market beta wnwar a portfolio of illiquiassets 考虑自相关性C是怎么考虑的？老师这道题能不能详细讲解下，解析看不太懂，什么会有biases the market beta wnwar

NO.PZ2016071602000024 这道题就是说 通过平滑return 能有啥后果呗？ 平滑return 应该主要就是降低sigma呗？ 那sigma降低 correlation 不也降低吗？infrequent sampling那页屁屁踢写的呀？ 咋还能选increase correlation呢？ beta咋变不一定吧。。。beta是不是根据CAPM算呀？那return要是平滑了，beta也就平滑了呗？ 就是问问C~

NO.PZ2016071602000024 为什么会导致higher correlation？