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.
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。
这个亏1%的意思是说亏的时候因为有杠杆所以亏超过10%对吧
