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rikkisong72 · 2020年03月19日

问一道题:NO.PZ201809170400000602

* 问题详情,请 查看题干

问题如下:

Which of the following position size policy constraints is the most restrictive in setting Manager A’s maximum position size in shares of Pasliant Corporation?

选项:

A.

Liquidity

B.

Allocation

C.

Index weight

解释:

A is correct. The maximum position size in shares of Pasliant Corporation (PC) is determined by the constraint with the lowest dollar amount. The maximum position size for PC under each constraint is calculated as follows:

Liquidity Constraint

Dollar value of PC traded daily = PC market cap × Average daily trading volume

Dollar value of PC traded daily = $3 billion × 1.0% = $30 million

Liquidity constraint = Dollar value of PC traded daily × Liquidity % threshold

Liquidity constraint = $30 million × 10% = $3 million

Allocation Constraint

Allocation constraint = AUM × Maximum position size threshold

Allocation constraint = $250 million × 3.0% = $7.5 million

Index Weight Constraint

Index weight constraint = AUM × (Index weight × 10)

Index weight constraint = $250 million × (0.20% × 10) = $5.0 million

The liquidity constraint of $3.0 million is less than both the $5.0 million index weight constraint and the $7.5 million allocation constraint. Therefore, the maximum allowable position size that Manager A may take in PC is $3.0 million.

请问这个计算在课上哪里有说到?没在讲义上看到这个知识点啊。还是说纯粹靠理解?

2 个答案

maggie_品职助教 · 2020年05月21日

我没明白你的意思,这道题是在R25啊

maggie_品职助教 · 2020年03月21日

嗨,爱思考的PZer你好:


有的,这里请听视频对应讲义199页-204页,特别是203页的例题。


-------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!


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