Which of the following statements about the risk anomaly is TRUE? B. Due to time-varying reality, it is theoretically intractable to create a reproducible benchmark for either the low beta or low volatility risk anomalities such that empirical tests of the risk anomalities are not robust and the discussion remains "largely theoretical" C. The risk anomaly might be explained by investors who are leveraged constrained and/or have an "agency problem" created by a need to minimize tracking error with the benchmark. 想问老师为什么B不对呢，答案是C

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。。。

想问下课件中计算incremental var 用的等式中用的是MVaR乘以W 这个W是指什么？它和计算CVaR中MVaR乘的V有什么区别？

如果总体的话肯定是有分散效应的，但是这道题问的是组合中单个资产的component var 和individual var 的区别啊，就组合里的单个资产怎么会有分散化的效应？

不太懂这个题目的尖峰是怎么推出来的...

这道题计算以8%进行再投资的收益时，为什么N=30？从第一年收到第一笔coupon开始进行再投资，直到第29年结束（第30年的coupon不会再进行再投资），应该N=29才对呀。因为0--1时刻没有coupon再投资。还有，为什么pv=0呢？

why low coupon implies high duration?

老师好， 请介绍一下Arbitrage CDOs 和 Balance sheet CDOs， 似乎ppt上没讲过啊。

在汇率中，Fo>So exp(R-Rf)T, 我可以理解买右边的，卖左边的，但是我不懂要借哪个货币，买哪一种货币？

European-styled call and put options are most affected by changes in vega when they are at-the-money 不是特别懂，在at the money的时候gamma,theta值也大，为什么是vega影响最大。