问题如下:
Stocks A, B, and C are in the benchmark portfolio. Assume a manager forecasts returns on stocks A, B, and D. Stock C is in the benchmark but not in the forecast. Stock D is in the forecast but not in the benchmark. Which of the following is least accurate?
选项:
A.the manager should assign zero weight to stock C.
B.the manager should assign zero weight to stock D.
C.the weight assigned to stock C can be calculated from the alphas of the forecasted asset.
D.the weights assigned to stock C and D are not equal.
解释:
A is correct.
考点:Proper Alpha Coverage
解析:首先要注意题目中要求选出错误选项。
对于有预测但不在基准中的股票(Stock D),应为其分配的权重为0。对于没有预测但在基准中的股票(Stock C),应为其分配权重为 forecasted asset alphas 的函数。因此选项A是错误的,Stock C应分配的权重为 forecasted asset alphas 的函数,不等于0。其他选项的说法都是正确的。
李老师讲的-2%是什么意思?no forecase of asset in the benchmark 这种情况下是将什么调成0?我没有看懂这道题的解释和上课的讲解。