Iris2019-02-15 00:38:24

The investment Committee at your firm has a longstanding practice of weighing alpha, among other factors and criteria, in its evaluation of external managers. However, a member voiced concern about the reliablilty of alpha in the context of certain strategies with known non-linear payoffs.The committee wants to better evaluate manager alpha in light of these non-linear strategies.Which of the following is most viable? A. One approach to accounting for nonlinear payoffs is to include tradeable nonlinear factors. C. The easiest way to compute tradeable alpha in the case of nonlinear payoffs is to include nonlinear terms, in particular quadratic terms, on the right-hand side of the factor regression; for example, r^2(t) or max[r(t),0] 想问下老师为什么C不对 另外，感觉二级的课能听懂但是做题准确率实在和一级的时候差太远，感觉特别担心呢。。。二级的题目看上去感觉都对。。。