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SUN · 2020年01月08日

问一道题:NO.PZ2019012201000051 [ CFA III ]

虽然做对了,但是哪一条不符合optimization?

问题如下图:

选项:

A.

B.

C.

解释:

1 个答案
已采纳答案

maggie_品职助教 · 2020年01月09日

做最优化,不需要指数里的成分股流动性非常好。

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NO.PZ2019012201000051 问题如下 Winthrop asks Tong about the techniques wealth managers anfuncompanies use to create inx-tracking equity portfolios thminimize tracking error ancosts. In response, Tong outlines two frequently usemetho:Metho1 One process requires thall inx constituents are available for trang anliqui but significant brokerage commissions coccur when the inx is large.Metho1’s portfolio construction process is most likely: A.optimization B.full replication C.stratifiesampling Full replication occurs when a manager hol all securities representethe inx in weightings thclosely matthe actuinx weightings. Thus it requires thall inx constituents are liquianavailable for trang, anthe asset size of the mante must also sufficient.Significant brokerage commissions coccur, however, when the inx is large. 而且没有明白为什么full replication会minimize cost?

2022-09-28 18:29 1 · 回答

NO.PZ2019012201000051 Full rep的方法下由于trang cost,liquity cost比较高,也会造成一定的Tracking Error。请问这种情况下造成的tracking error是比stratifiesampling高还是低呢?

2022-02-01 12:19 1 · 回答

full replication stratifiesampling Full replication occurs when a manager hol all securities representethe inx in weightings thclosely matthe actuinx weightings. Thus it requires thall inx constituents are liquianavailable for trang, anthe asset size of the mante must also sufficient. Significant brokerage commissions coccur, however, when the inx is large. commission fee很高,那还要full replication吗?  stratifiesampling 不是便宜一点吗

2020-10-04 20:42 1 · 回答

minimize tracking error ancosts...感觉full replication 应该不能minimize Costs

2020-02-23 20:22 1 · 回答