开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

Zhj006 · 2025年04月06日

optimal amount of risk

  1. CFA II
  2. Portfolio

NO.PZ2023040601000108

问题如下：

Martinez asks Singh about the possible effects on the portfolio’s information ratio if cash were added to the diversified asset portfolio or if the aggressiveness of the portfolio’s active weights were increased. Singh responds with two statements:

  • Statements1: Adding cash to the portfolio would change the portfolio’s information ratio.
  • Statements2: Increasing the aggressiveness of active weights would not change the portfolio’s information ratio.
Which of Singh’s statements regarding the information ratio is correct?

选项：

A.

Only Statement 1

B.

Only Statement 2

C.

Both Statement 1 and Statement 2

解释：

The information ratio for a portfolio of risky assets will generally shrink if cash is added to the portfolio. Because the diversified asset portfolio is an unconstrained portfolio, its information ratio would be unaffected by an increase in the aggressiveness of active weights.

改变weight会影响optimal amount of risk， 从而影响IR啊， 因为它等于(IR/SR)*Bmk risk

添加评论
1 个答案

品职助教_七七 · 2025年04月07日

嗨，爱思考的PZer你好：


1）改变weight不影响IR为固定结论。这个知识点和optimal amount of risk没有直接关系。

2）optimal amount of risk对应的是固定的 optimal weight，只有这一个weight的值才能达到optimal。

无论实际weight怎么变，改变的是实际的active risk， 但optimal amount of risk不会改变。

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

  • 1

    回答

  • 0

    关注

  • 4

    浏览
相关问题

NO.PZ2023040601000108 问题如下 Martinez asks Singh about the possible effects on the portfolio’s information ratio if cash were aeto the versifieasset portfolio or if the aggressiveness of the portfolio’s active weights were increase Singh respon with two statements:Statements1: Aing cash to the portfolio woulchange the portfolio’s information ratio.Statements2: Increasing the aggressiveness of active weights woulnot change the portfolio’s information ratio.Whiof Singh’s statements regarng the information ratio is correct? A.Only Statement 1 B.Only Statement 2 C.Both Statement 1 anStatement 2 The information ratio for a portfolio of risky assets will generally shrink if cash is aeto the portfolio. Because the versifieasset portfolio is unconstraineportfolio, its information ratio woulunaffecteincrease in the aggressiveness of active weights. 增加现金会导致IR下降吗？为什么？谢谢！

2023-08-09 00:08 1 · 回答