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Aolen过过过 · 2024年12月19日

请问这题知识点在哪里

* 问题详情,请 查看题干

NO.PZ201809170400000602

问题如下:

Which of the following position size policy constraints is the most restrictive in setting Manager A’s maximum position size in shares of Pasliant Corporation?

选项:

A.

Liquidity

B.

Allocation

C.

Index weight

解释:

A is correct. The maximum position size in shares of Pasliant Corporation (PC) is determined by the constraint with the lowest dollar amount. The maximum position size for PC under each constraint is calculated as follows:

Liquidity Constraint

Dollar value of PC traded daily = PC market cap × Average daily trading volume

Dollar value of PC traded daily = $3 billion × 1.0% = $30 million

Liquidity constraint = Dollar value of PC traded daily × Liquidity % threshold

Liquidity constraint = $30 million × 10% = $3 million

Allocation Constraint

Allocation constraint = AUM × Maximum position size threshold

Allocation constraint = $250 million × 3.0% = $7.5 million

Index Weight Constraint

Index weight constraint = AUM × (Index weight × 10)

Index weight constraint = $250 million × (0.20% × 10) = $5.0 million

The liquidity constraint of $3.0 million is less than both the $5.0 million index weight constraint and the $7.5 million allocation constraint. Therefore, the maximum allowable position size that Manager A may take in PC is $3.0 million.

没找到关于这部分的讲解,是否还在25年考纲内

1 个答案

笛子_品职助教 · 2024年12月20日

嗨,努力学习的PZer你好:


没找到关于这部分的讲解,是否还在25年考纲内

Hello,亲爱的同学~

这部分在equity基础讲义Pathway的部分。

同学是否需要考,要看同学具体选择的方向是什么。


equity Pathway 基础讲义160-161页,有相关例题。



如果同学选择了这个方向的话,可以先看一看这道例题。

这部分主要是英语阅读理解,题目怎么说,翻译成对应的数学公式就可以。其实没有什么特别的知识点。

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