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super31002 · 2020年01月25日

问一道题：NO.PZ2019012201000079 [ CFA III ]

  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.

B错哪儿了，有效前沿确实是凸的

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1 个答案

maggie_品职助教 · 2020年02月04日

你这里是记忆有误哦，请看原版书的截图。此外，这个点在三级固收的introduction中何老师画图讲解了，也可以去听下。

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