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Marina_0122 · 2021年07月08日

concave可以画个图解释一下吗

NO.PZ2019012201000079

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.

concave可以画个图解释一下吗

1 个答案
已采纳答案

伯恩_品职助教 · 2021年07月08日

嗨,从没放弃的小努力你好:


同学你好,先解释一下答案最后一句话。可能存在限制经理 A 调整其主动权重的约束。因此,绝对风险的两倍不会导致收益的两倍,马科维茨有效前沿表明收益与风险之间的关系是凹的。


在有效前沿右下方区域的任何一个投资组合,要么风险偏高,要么收益偏低,都不是最优投资组合。

所以,站在资产配置的角度,投资者所构建的风险资产组合一定要尽量在这条有效前沿曲线上,否则,它就不是最优的资产配置组合。

其中,有效前沿左侧边界上的点称为全球最小方差组合(Global minimum variance portfolio)。


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玛卡巴卡 · 2021年09月22日

老师,这个图是凸向远点么?凹凸怎么区分的我有点忘记了,可以再解释下么?还有债券里面的convex图对比下

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