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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。




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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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