问题如下图:
选项:
A.
B.
C.
解释:
Optimization 要求的是minimize tracking error 为什么不选A
NO.PZ2019012201000016 问题如下 Matt consirs using a portfolio construction technique to create inx-tracking equity portfolios thcminimize tracking error ancosts. All constituents in the benchmark are available for trang anliquianthe asset size of the mante is sufficient. Whiof following metho is most likely to chosen? Optimization. Full replication. Stratified sampling. B is correct. 考点:Portfolio construction 解析: 当要追踪的指数中的股票流动性好、交易比较容易,那么只要资产规模足够,基金经理会优先选择完全复制的方法。因为该方法会使得追踪误差最低,而且股票流动性好,也说明完全复制情况下交易费用也不会太高。 如题,为什么是full replication
NO.PZ2019012201000016 问题如下 Matt consirs using a portfolio construction technique to create inx-tracking equity portfolios thcminimize tracking error ancosts. All constituents in the benchmark are available for trang anliquianthe asset size of the mante is sufficient. Whiof following metho is most likely to chosen? Optimization. Full replication. Stratified sampling. B is correct. 考点:Portfolio construction 解析: 当要追踪的指数中的股票流动性好、交易比较容易,那么只要资产规模足够,基金经理会优先选择完全复制的方法。因为该方法会使得追踪误差最低,而且股票流动性好,也说明完全复制情况下交易费用也不会太高。 Full Replication Tracking Error是最低,但Tracking Error U shape说 Security Number越多,tracking error 越高。Full Replication肯定是3个方法里,Security Number最多的,但为何tracking error也是最低的呢?
NO.PZ2019012201000016问题如下 Matt consirs using a portfolio construction technique to create inx-tracking equity portfolios thcminimize tracking error ancosts. All constituents in the benchmark are available for trang anliquianthe asset size of the mante is sufficient. Whiof following metho is most likely to chosen? Optimization. Full replication. Stratified sampling. B is correct. 考点:Portfolio construction 解析: 当要追踪的指数中的股票流动性好、交易比较容易,那么只要资产规模足够,基金经理会优先选择完全复制的方法。因为该方法会使得追踪误差最低,而且股票流动性好,也说明完全复制情况下交易费用也不会太高。 看到流动性好和available想选full replication,看到min error ancosts又想选optimization
NO.PZ2019012201000016 Full replication. Stratifiesampling. B is correct. 考点Portfolio construction 解析: 当要追踪的指数中的股票流动性好、交易比较容易,那么只要资产规模足够,基金经理会优先选择完全复制的方法。因为该方法会使得追踪误差最低,而且股票流动性好,也说明完全复制情况下交易费用也不会太高。 怎样区分full replication 和 optimizations呢
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