助教老师您好，我在看视频和讲义的时候有如下疑问：
在视频1倍速19分钟左右
老师在左边的图的右方写道 AUM*0.1%<=6m (position size)
但是题干第二个point说"Maximum position size equal to the lesser of ...", 翻译成数学语言也就是
%Position size<=min(0.01%*10, 1%+0.01%)
%Position size<=0.1%
$Position size/$AUM<=0.1%
$AUM*0.1%>=$Position size (rather than AUM*0.1%<=6m (position size))
我想老师这里应该是讲反了.
我个人认为这道题的意思是，根据题干所给出的liquidity and concentration constraints, 我们能够推导出来 position size<=$6million。上面我加黑的公式也可以写成$position size>=$AUM*0.1%。因此当AUM小于等于$6billion的时候, 我们并不会受到“position size<=$6million”的约束。这也就是教材中以及讲义中说的“It appears that Corn's strategy will not be constrained (i.e., position size<=$6million) until the portfolio reaches about $6 billion in size."
当AUM超过$6billion的时候，我们就会受到“position size<=$6million”的约束。因此就需要持有更多的小盘股来降低%Position size (remember that $position size=%position size*$AUM)，进而便不再受到“position size<=$6million”的约束。这也就是教材以及讲义中说的“If the level of AUM exceeds $6 billion, his position size constraints (i.e., position size<=$6million) will require the portfolio to hold a larger number of smaller-cap positions."
