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jojo · 2024年07月18日

选项C陈述本身没错，但是这个点难道不是归类在leverage下面的吗？（我以为题目在问第一点）

  1. CFA III
  2. Equity

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.

还是limitation of return achieved by bearing risk下面分的几点没有这么严格分类：



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笛子_品职助教 · 2024年07月19日

嗨，努力学习的PZer你好：


同学的理解是正确的，也就是：limitation of return achieved by bearing risk下面分的几点，并没有这么严格分类。

杠杆增加，风险增加，但收益不一定增加，下面几点说的都是这个规律。

无论是IR（相对风险收益），还是SR（绝对风险收益），这个规律都适用。

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