NO.PZ2019012201000034
问题如下：
The information ratio (IR) is defined as the ratio of active return to active risk. The fund manager aims to scale up active return linearly with active risk, while maintaining the same information ratio. However, there may be limitations that prevent manager from keeping the IR unchanged. Which of the following is considered as a constraint?
选项：
A.Investment policy allows short positions.
B.Limited diversification opportunities.
C.Investment policy restricts maximum position sizes.
解释：
C is correct.
考点： Determining the Appropriate Level of Risk
解析：如果策略限制最大的头寸，基金经理可能无法按比例调整其主动风险,因此策略对头寸规模进行限制是一个限制因素。
老师，看了其他答案有个问题。分散化限制只会影响sr，这里我不理解，分散化限制也会影响tc吧，影响经理把想法转化为实际操作的程度。就比如说基金经理有什么其他想投的，但被限制住了，这不就是让tc也减少了。请问我的理解哪里有问题呢？