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Ruthlessbaby · 2020年10月23日

问一道题：NO.PZ2019012201000079 [ CFA III ]

  1. CFA III
  2. Equity

问题如下：

Which of following is correct regarding on Implementation Constraints?

选项：

A.

Twice the absolute risk will lead to twice the return.

B.

Markowitz efficient frontier shows that the relationship between return and risk is convex.

C.

There is a level of leverage beyond which volatility reduces expected returns.

解释：

C is corrent. Portfolios may face implementation constraints that decrease the IR if active risk increases beyond a specific level; Portfolios with high absolute risk targets face limited diversification opportunities, which may lead to a decrease in the SR. There is a level of leverage beyond which volatility reduces expected returns.

There may be constraints that prevent Manager A from scaling his active weights.So twice the absolute risk will not lead to twice the return, Markowitz efficient frontier shows that the relationship between return and risk is concave.

我记得圆的下半是凹的，上半圆是凸的呀，老师上课好像讲过，笑脸是凹性，哭脸是凸性，哭脸就是上半圆，即凸的呀。有效前沿明明是上半圆呀，而且从图形含义理解也是凸的呀
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maggie_品职助教 · 2020年10月24日

嗨，爱思考的PZer你好：


同学，你好像记反了。凸性是指凸向原点（不是向下或向上凸），最好的例子就是债券的价格和收益率曲线，这种关系叫债券价格的凸性（convexity）。所以笑脸嘴巴是convex，哭脸是concave。


-------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！


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