问题如下:
The information ratio (IR) is defined as the ratio of active return to active risk. The fund manager aims to scale up active return linearly with active risk, while maintaining the same information ratio. However, there may be limitations that prevent manager from keeping the IR unchanged. Which of the following is considered as a constraint?
选项:
A.Investment policy allows short positions.
B.Limited diversification opportunities.
C.Investment policy restricts maximum position sizes.
解释:
C is correct.
考点: Determining the Appropriate Level of Risk
解析:如果策略限制最大的头寸,基金经理可能无法按比例调整其主动风险,因此策略对头寸规模进行限制是一个限制因素。
请问B选项为什么不对?