由于联系了辅导员多次反映都没有得到答案, 只好重新提问
NO.PZ2019012201000029
问题如下:
TMT has $300 million in assets under management, an active risk of 5.5%, an information coefficient of 0.10, and a transfer coefficient of 0.6. TMT’s portfolio has a 3% expected active return this year. The number of truly independent decisions TMT would need to make in order to earn the expected active portfolio return is closest to:
选项:
A.
83.
B.
55.
C.
61.
解释:
A is correct.
考点:Building Blocks
解析:根据如下公式,独立决策的个数等于:
E (RA) = IC × √BR × σRA × TC
E (RA) = 0.10 × √BR × 5.5% × 0.6 = 3%
3% = 0.10 × √BR × 5.5% × 0.6
BR = 82.64 约等于83
请问关于这个独立决策的次数, 如果是考主观题, 我是默认四舍五入取整吗? 还是要无条件进位取整? 之前老师指回答取整数, 那到底是四舍五入还是无条件进位呢?