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扑扑扑 · 2020年10月01日

问一道题:NO.PZ2015121801000133

问题如下:

Tactical asset allocation is best described as:

选项:

A.

attempts to exploit arbitrage possibilities among asset classes.

B.

the decision to deliberately deviate from the policy portfolio.

C.

selecting asset classes with the desired exposures to sources of systematic risk in an investment portfolio.

解释:

B  is correct.

Tactical asset allocation allows actual asset allocation to deviate from that of the strategic asset allocation (policy portfolio) of the IPS. Tactical asset allocation attempts to take advantage of temporary dislocations from the market conditions and assumptions that drove the policy portfolio decision.

A到底错在哪...TAA不也是对大类资产类别的分配吗

1 个答案

丹丹_品职答疑助手 · 2020年10月02日

嗨,从没放弃的小努力你好:


同学你好,这个问题其他同学也有问过,套利是有严格的定义的,我们要知道套利是什么,要想套利我们需要满足2个条件:一是不承担任何风险;二是不花一分钱,也就是空手套白狼。顺着这个思路,构建套利组合肯定是要short一个资产组合然后拿short的钱去long另一个资产组合,这样才是空手套白狼。那风险如何去除呢?就是让这两个组合之间的factor sensitivity大小相等,方向相反,可以互相抵消,这样就实现了零风险。


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努力的时光都是限量版,加油!


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