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小火炉 · 2024年08月12日

如果有optimal 是不是选最优化

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000034

问题如下：

Thecity also manages a separate, smaller bond portfolio for the Radford SchoolDistrict. During the next fi­ve years, the school district has obligations forschool expansions and renovations. The funds needed for those obligations areinvested in the Bloomberg Barclays US Aggregate Index. Doug asks Hui whichportfolio management strategy would be most efficient in mimicking this index.

Hui’s response to Doug’s question about the most efficient portfolio management strategy should be:

选项：

A.

full replication.

B.

active management.

C.

an enhanced indexing strategy.

解释：

Correct Answer: C

Cis correct. Under an enhanced indexing strategy, the index is replicated withfewer than the full set of index constituents but still matches the originalindex’s primary risk factors. This strategy replicates the index performanceunder different market scenarios more efficiently than the full replication ofa pure indexing approach.

如果有optimal 是不是选最优化

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发亮_品职助教 · 2024年08月13日

是的，说optimal就是要按照题目的要求选择最佳。题干一般会给详细的标准是啥，然后按照他的标准寻找optimal的方法。


如，题干match index的要求标准是严格的match index，那么optimal的方法就是pure indexing

而题干说match index的要求标准是efficiently match index，即，既节省成本，又match的不错，那么optimal的方法就是enhanced indexing


optimal只是说选出最佳的一个，至于是哪方面最佳，题干一定会给一个详细的描述。


这道题的题干说most efficient in mimicking this index就是在节约成本的同时，又能比较好的match住index。只有enhanced indexing满足这个条件。

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