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ciaoyy · 2020年01月11日

问一道题:NO.PZ2019012201000072

问题如下:

Leeter makes the following statements about quantitative strategies:

1 Manager experience and discretion in identifying new trends in the market are important components of any quantitative strategy.

2 Loss aversion bias is more prominent with quantitative strategies than with fundamental strategies.

3 Generally, quantitative methods rely on information coefficients between firm returns and model factors.

Which of Leeter’s statements concerning the quantitative approach to active management is most accurate?

选项:

A.

Statement 1

B.

Statement 2

C.

Statement 3

解释:

Leeter’s third statement is most accurate. Generally, quantitative methods use past data to identify systematic factors that can be overweighted or underweighted in a portfolio based on an information coefficient.

A is incorrect. Leeter’s first statement is not accurate. Manager discretion has a minimal role in quantitative approaches.

B is incorrect. Leeter’s second statement is not accurate. Loss aversion is more symptomatic of fundamental approaches rather than quantitative approaches.

能否解释一下statement 2?

2 个答案

maggie_品职助教 · 2020年08月16日

注意:这个损失厌恶是基本面投资的常见错误之一。因为不同于量化投资是基于电脑的,基本面投资是基于人来做判断,人在做决策时就会受心理影响,而损失厌恶是一种行为偏差,这个点在权益不是重点,老师上课也强调了了解即可。


maggie_品职助教 · 2020年01月13日

嗨,努力学习的PZer你好:


损失厌恶是fundamental approaches的特征,但是statment 2说它在量化策略中更加突出,所以错在说反了,请看讲义139页:


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陈Shelly · 2020年08月15日

请问为什么损失厌恶是fundamental approaches的特征呢?

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