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sion · 2021年04月01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.

如果选择b改成concave那也是对的吗

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1 个答案

maggie_品职助教 · 2021年04月02日

嗨，爱思考的PZer你好：


是的，B就是错在它把concave说成convex。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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