开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

dilly24 · 2024年07月19日

请问这道题B为什么错了?

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.

如题

1 个答案

笛子_品职助教 · 2024年07月19日

嗨,爱思考的PZer你好:


Hello,亲爱的同学~

这里需要先了解凸(convex)和凹(concave)的定义。

对于风险收益曲线来说,横轴是风险,纵轴是收益。

如果随着风险增加,收益增加幅度会越来越小,则是concave。

如果随着风险增加,收益增加幅度会越来越大,是convex。


简单来说,以小(风险)博大(收益),是convex。反过来是concave。


在理解以上凹凸定义知识点后,我们看本题。

马科维兹曲线如下:


可以看出,这条蓝色线,随着风险的增加,收益增加的幅度,要小于风险增加的幅度。

斜率越来越低,意味着收益增加幅度越来越小。

因此是concave的。


B选项说,曲线是convex的,因此不选。




----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

  • 1

    回答
  • 0

    关注
  • 146

    浏览
相关问题

NO.PZ2019012201000079 问题如下 Whiof following is correregarng on Implementation Constraints? A.Twithe absolute risk will leto twithe return. B.Markowitz efficient frontier shows ththe relationship between return anrisk is convex. C.There is a level of leverage beyonwhivolatility reces expectereturns. C is corrent. Portfolios mfaimplementation constraints thcrease the IR if active risk increases beyona specific level; Portfolios with high absolute risk targets falimiteversification opportunities, whimleto a crease in the SR. There is a level of leverage beyonwhivolatility reces expectereturns. 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 mconstraints thprevent Manager A from scaling his active weights.So twithe absolute risk will not leto twithe return, Markowitz efficient frontier shows ththe relationship between return anrisk is concave. b为什么不对

2024-08-15 23:31 1 · 回答

NO.PZ2019012201000079 问题如下 Whiof following is correregarng on Implementation Constraints? A.Twithe absolute risk will leto twithe return. B.Markowitz efficient frontier shows ththe relationship between return anrisk is convex. C.There is a level of leverage beyonwhivolatility reces expectereturns. C is corrent. Portfolios mfaimplementation constraints thcrease the IR if active risk increases beyona specific level; Portfolios with high absolute risk targets falimiteversification opportunities, whimleto a crease in the SR. There is a level of leverage beyonwhivolatility reces expectereturns. 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 mconstraints thprevent Manager A from scaling his active weights.So twithe absolute risk will not leto twithe return, Markowitz efficient frontier shows ththe relationship between return anrisk is concave. 还是limitation of return achievebearing risk下面分的几点没有这么严格分类

2024-07-18 05:08 1 · 回答

NO.PZ2019012201000079问题如下Whiof following is correregarng on Implementation Constraints? A.Twithe absolute risk will leto twithe return.B.Markowitz efficient frontier shows ththe relationship between return anrisk is convex.C.There is a level of leverage beyonwhivolatility reces expectereturns. C is corrent. Portfolios mfaimplementation constraints thcrease the IR if active risk increases beyona specific level; Portfolios with high absolute risk targets falimiteversification opportunities, whimleto a crease in the SR. There is a level of leverage beyonwhivolatility reces expectereturns. 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 mconstraints thprevent Manager A from scaling his active weights.So twithe absolute risk will not leto twithe return, Markowitz efficient frontier shows ththe relationship between return anrisk is concave. 如标题 c没看懂 能在讲讲吗?

2024-06-07 12:54 1 · 回答

NO.PZ2019012201000079 问题如下 Whiof following is correregarng on Implementation Constraints? A.Twithe absolute risk will leto twithe return. B.Markowitz efficient frontier shows ththe relationship between return anrisk is convex. C.There is a level of leverage beyonwhivolatility reces expectereturns. C is corrent. Portfolios mfaimplementation constraints thcrease the IR if active risk increases beyona specific level; Portfolios with high absolute risk targets falimiteversification opportunities, whimleto a crease in the SR. There is a level of leverage beyonwhivolatility reces expectereturns. 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 mconstraints thprevent Manager A from scaling his active weights.So twithe absolute risk will not leto twithe return, Markowitz efficient frontier shows ththe relationship between return anrisk is concave. 马科维茨是个CONVX关系啊?

2024-03-31 22:28 2 · 回答