老师好，衍生品这一块2017年的上午题，问到了VaR, 请问需要复习这样的题目么？ 这个是二级考试的内容，而且这个视频的A题目没有直接就跳过去了

老师你好，衍生品2018年C题目，如果说预计一年后的expected value of portfolio是60m USD，并且有文字说明相当有信心预测准确，这样的话就可以通过一个一年期的short forward 60m USD去hedge对么？

general 下面又分两个账户，和这个seperate account 啥关系？有点懵

这道题用了贝塔和tracking error,这个知识点有点不太清楚，可否说一下思路？

老师，我想和您确认一下。我在不同的课里，不同的老师，对TAA战术性资产配置。有的说是对SAA的偏差。有的说是对在资产大类下的具体资产选择。如何理解呢？

R9书后第12题, 选项C是不是错了, 应该是an illusion of knowledge吧?...因为Overconfidence分为两种, 一个是an illusion of knowledge, 一个是self-attribution. 但是这个我在勘误里搜索过了, 好像也没有涉及.

2011 Q5 請問實際考試這樣寫可以嗎? A Resample 1. A resample approach is not sensitive to small changes in inputs; 2. A resample approach is relatively diversified in asset allocation. BL i. A BL approach can combine the investor’s future view about markets. MCS i. Monte Carlo can determine a path-dependent terminal value; ii. Monte Carlo is a multi-period model, which is allowed the investor to see how the effect of the changes in tax plays out. B 1. Finnegan has debt-like liabilities to pay; 2. Finnegan currently is unemployed and has a lower risk tolerance; 3. Finnegan’s liability is interest-rate sensitive. In order to match the nature of the liability and assets, the investor should choose an ALM approach. C 1. With a higher allocation in equities, the volatility of the portfolio is higher and not suitable for Finnegan who currently has a lower risk tolerance; 2. She used to work as an equity analyst, in which the incomes generated in the position are positively correlated with equity markets.

2014 Q8 請問實際考試這樣寫可以嗎? A 1. The board should choose portfolio jade. 2. Portfolio jade has a higher expected utility (3.5%) than portfolio Ruby does (2.04%). Jade: 6.5% - 10%^2*6*0.005 = 3.5% Ruby: 7.5% - 13.5%^2*6*0.005 = 2.04% B 1. The board should choose portfolio Ruby based on Roy’s safety-first criteria. 2. The ratio of Ruby is higher (0.1852) than the ratio of Jade (0.15). Jade: (6.5% - 5%)/10.0% = 0.15 Ruby: (7.5% - 5%)/ 13.5% = 0.1852 C 1. The non-domestic developed market equity should be added into the current portfolio to improve a mean-variance; 2. The sharp ratio of new portfolio > the sharp ratio of the current portfolio x correlation 0.4286 > 0.3132 (0.4473 x 0.7) D The correlation will increase during the period of financial stress.

put 的价格是在资产价格变高、还是变低的时候，put 的价格会更高？ or put option, the delta will underestimate the price effect of decrease in the underlying equity and will overestimate the price effect of increase in the underlying equity. this is due to the convex relationship between put option prices and the price of the underlying equity .this can be addressed by adjusting the put option price for the effect of gamma,which is analogous to the convexity adjustment of a bonds’ price. 这段话应该怎么理解？

如果是一个股票过去涨的都很好，最近一个季度开始下跌，基于偏差应该买还是卖? 老师，基于代表性偏差，为什么会sell呢？