NO.PZ202207040100001001
问题如下：
In Exhibit 1, the replication manager that most likely blends stratified sampling and optimization is:选项：
A.Manager A. B.Manager B. C.Manager C.解释：
SolutionC is correct. Manager C demonstrates characteristics consistent with a blended approach of stratified sampling and optimization. The optimization process accounts explicitly for the covariances in the portfolio constituents and results in lowering tracking error when compared with stratified sampling alone. Using 1,200 holdings out of the 3,000 used by the index illustrates stratified sampling. Manager A appears to use a full replication, given the large number of holdings (498 of 500) and the low tracking error. Manager B appears to use stratified sampling alone, given the proportion of holdings (800 out of 928 in the index, or 86%), and does not appear to use optimization, given the large tracking error, which would have been reduced by accounting for covariances.
A is incorrect. It is very likely that Manager A uses a full replication approach as indicated by the number of holdings (498 of 500) and the low tracking error.
B is incorrect. Manager B uses stratified sampling alone. The manager has not reduced tracking error by accounting for covariances as would be done when using optimization. Using 1,200 holdings out of the 3,000 used by the index illustrates stratified sampling.
答案里的解释也提到了，这里的covariance是指什么？
