开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

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:


-------------------------------
加油吧,让我们一起遇见更好的自己!


陈Shelly · 2020年08月15日

请问为什么损失厌恶是fundamental approaches的特征呢?

  • 2

    回答
  • 2

    关注
  • 797

    浏览
相关问题

NO.PZ2019012201000072 问题如下 Leeter makes the followingstatements about quantitative strategies:1 Managerexperienanscretion in intifying new tren in the market are importantcomponents of any quantitative strategy.2 Loss aversionbiis more prominent with quantitative strategies thwith funmentalstrategies.3 Generally,quantitative metho rely on information coefficients between firm returns anol factors.Whiof Leeter’sstatements concerning the quantitative approato active management is mostaccurate? A.Statement 1 B.Statement 2 C.Statement 3 Leeter’s thirtatement is most accurate. Generally, quantitative metho use past ta tointify systematic factors thcoverweighteor unrweightein aportfolio baseon information coefficient.A is incorrect.Leeter’s first statement is not accurate. Manager scretion ha minimrolein quantitative approaches.B is incorrect.Leeter’s seconstatement is not accurate. Loss aversion is more symptomatic offunmentapproaches rather thquantitative approaches. 请问关于S2应该如何理解?各种Bias在funmentapproache 和quantitative approache间如何区分

2023-04-26 09:52 1 · 回答

NO.PZ2019012201000072 问题如下 Leeter makes the followingstatements about quantitative strategies:1 Managerexperienanscretion in intifying new tren in the market are importantcomponents of any quantitative strategy.2 Loss aversionbiis more prominent with quantitative strategies thwith funmentalstrategies.3 Generally,quantitative metho rely on information coefficients between firm returns anol factors.Whiof Leeter’sstatements concerning the quantitative approato active management is mostaccurate? A.Statement 1 B.Statement 2 C.Statement 3 Leeter’s thirtatement is most accurate. Generally, quantitative metho use past ta tointify systematic factors thcoverweighteor unrweightein aportfolio baseon information coefficient.A is incorrect.Leeter’s first statement is not accurate. Manager scretion ha minimrolein quantitative approaches.B is incorrect.Leeter’s seconstatement is not accurate. Loss aversion is more symptomatic offunmentapproaches rather thquantitative approaches. 老师,请问S1不对,是不是它实质上描述的是技术分析,既不属于量化也不属于基本面?

2023-04-25 11:41 1 · 回答

NO.PZ2019012201000072 问题如下 Leeter makes the followingstatements about quantitative strategies:1 Managerexperienanscretion in intifying new tren in the market are importantcomponents of any quantitative strategy.2 Loss aversionbiis more prominent with quantitative strategies thwith funmentalstrategies.3 Generally,quantitative metho rely on information coefficients between firm returns anol factors.Whiof Leeter’sstatements concerning the quantitative approato active management is mostaccurate? A.Statement 1 B.Statement 2 C.Statement 3 Leeter’s thirtatement is most accurate. Generally, quantitative metho use past ta tointify systematic factors thcoverweighteor unrweightein aportfolio baseon information coefficient.A is incorrect.Leeter’s first statement is not accurate. Manager scretion ha minimrolein quantitative approaches.B is incorrect.Leeter’s seconstatement is not accurate. Loss aversion is more symptomatic offunmentapproaches rather thquantitative approaches. information coefficients between firm returns anmol factors这在这个课程前103页都没有提到, 可以一下到底跟量化的投资方式有什么关联

2022-05-03 18:17 2 · 回答

NO.PZ2019012201000072 3 Generally, quantitative metho rely on information coefficients between firm returns anmol factors. 這是啥意思? 這個概念有在講義裡面嗎

2021-11-20 21:50 3 · 回答

quantative 第一步不是jugement sign stage吗?所以manager cretion是在founmental里面很重要吗?

2020-10-19 09:19 1 · 回答