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今天也要来一杯 · 2020年01月08日

问一道题：NO.PZ2019012201000079

  1. CFA III
  2. Equity

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.

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.

对C项的解释没看懂，可以展开说明一下么？

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1 个答案

maggie_品职助教 · 2020年01月09日

这里讲的就是边际效用递减的原理，承担更高的风险（加大杠杆），但不一定带来更高的回报。这句话是讲义的原话，上课都讲过的，建议去听一下。

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