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开泰-王飞 · 2023年01月12日

为何b不对呢?

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.

主要是说当杠杆过高,虽然可能会带来收益,但是风险也会增加,带来更大的波动,反而会降低收益。打个比方,昨天跌了10%,今天涨了10%,看起来好像是一样的。但是实际不是一回事,反而是亏损的(亏损1%),加杠杆后会进一步降低收益。

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.

这不是也描述了风险和收益不是线性变化吗?

3 个答案

笛子_品职助教 · 2023年04月27日

嗨,从没放弃的小努力你好:


可是老师根据这张图,的确是凸的

这张图类似一个抛物线,抛物线形状是凹的。

X是风险,Y是收益。冒着小风险,赚得大收益是凸,凸是好事。冒着大风险,赚得小收益,是凹。

这张图,增加同样的风险,换来的收益增加是越来越小的,属于冒大风险赚小收益,因此是凹。



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加油吧,让我们一起遇见更好的自己!

Esther🏵🎠🗝招财🐱 · 2023年04月27日

可是老师根据这张图,的确是凸的



笛子_品职助教 · 2023年01月12日

嗨,从没放弃的小努力你好:


为何b不对呢?这不是也描述了风险和收益不是线性变化吗?

如果B选项是说,风险和收益,不是线性变化,那么B是对的。

但是B并没有说,风险和收益不是线性变化,B说是convex,是凸的。convex体现在收益上的特点是,盈多亏少,是好事。

而使用杠杆我们知道,杠杆越大,产生的风险越大,但是收益未必能同等放大,盈少亏多,所以是concave的。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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