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Felix Young · 2024年02月14日

老师好,想问个细节

NO.PZ2023010903000027

问题如下:

For the international portion of the investment portfolio, Stapleton suggests that Sapphire invest in an MSCI EAFE index portfolio specifically tailored for the founda­tion rather than investing in an existing index fund. Anne Rowland, Sapphire’s board chair, asks her how this could be accomplished, given that the initial allocation is only $15 million. Stapleton suggests that Sapphire hire a manager to purchase a portfolio of securities that are a mutually exclusive yet comprehensive subgroup of the index designed to track the index return and risk characteristics.

The portfolio method suggested by Stapleton to replicate the MSCI EAFE Index is best described as:

选项:

A.

optimization

B.

stratified sampling

C.

a blended approach

解释:

The portfolio method that Stapleton is describing is stratified sampling. In equity indexing, stratified sampling methods are most frequently used when the portfolio manager wants to track indexes that have a large number of constituents or when dealing with a relatively low level of assets under management. In stratified sampling, the portfolio manager holds a limited sample of the index constituents arranged in distinct strata or subgroupings. Arranged correctly, the various strata will be mutually exclusive and also exhaustive and should closely match the characteristics and performance of the index.

A is incorrect. Optimization typically involves maximizing a desirable characteristic or minimizing an undesirable characteristic, subject to one or more constraints.

C is incorrect. An indexed portfolio can be managed using a blended approach consisting of full replication for more liquid issues and stratified sampling or optimization for less liquid issues.

想问下,在本章中,什么时候会用到 optimization方法跟踪指数?

2 个答案
已采纳答案

笛子_品职助教 · 2024年02月15日

嗨,从没放弃的小努力你好:


Index里股票数量非常多,并且都是中小盘股,流动性不好,这个时候,考虑在抽样与最优化中选择。


如果再要求最小化tracking error,并且用到协方差这类数据,则可以判断为最优化。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

笛子_品职助教 · 2024年02月15日

嗨,努力学习的PZer你好:


我看之前有题目提到:在某个约束下,最小化tracking error,这是最优化的特征。这个特点是不是也归类为optimization approach?


可以。

这就是上个回答说的:如果再要求最小化tracking error。

最小化tracking error本就需要有约束条件。

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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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