这里是不是应该是TE的平方

NO.PZ2019042401000015

B.

$\frac{{\text{IR}}_\text{i}\times{(\text{manager's tracking error})}}{{\text{IR}}_\text{p}\times(portfolio\text{'s tracking error)}}$

C.

$\frac{{\text{IR}}_\text{i}\times{(\text{portfolio's tracking error})}}{{\text{IR}}_\text{p}\times(manager\text{'s tracking error)}}$

D.

$\frac{{\text{IR}}_\text{p}\times{(\text{manager's tracking error})}}{{\text{IR}}_\text{i}\times(portfolio\text{'s tracking error)}}$

解释：

C is correct.

考点：optimal allocation across managers

解析：在基金经理之间进行最优资金配置时，应分配给manager i 的比例为 $\frac{{\text{IR}}_\text{i}\times{(\text{portfolio's tracking error})}}{{\text{IR}}_\text{p}\times(manager\text{'s tracking error)}}$

要准确记忆公式。