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cy g. · 2024年08月15日

如题

  1. CFA III
  2. Equity

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.

b选项为什么不对

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1 个答案

笛子_品职助教 · 2024年08月16日

嗨，从没放弃的小努力你好：


b选项为什么不对

Hello，亲爱的同学~

B选项：有效前沿显示，收益和风险的关系是凸的，这句话是错的。

应该改为：有效前沿显示，收益和风险的关系是凹的。这才对。

也就是说，把convex改为concave。


convex指的是，随着风险每增加一单位，收益的增加大于一单位，并且会越来越多。

concave指的是，随着风险每增加一单位，收益的增加会小于一单位，而且会增加得越来越少。


可以简单记忆为：convex就是好的，赚多亏少。concave是不好的，赚少亏多。

图形上也可以看出来，随着风险（variance）的增加，收益（expected return）增加得越来越少。是concave的。


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