注册 登录
上一主题：Standard Deviation Disclosure in GIPS
下一主题：Duration, Interest Rate Option
返回列表 发帖
Iginla2010

Rank: 2

UID
222248 
帖子
353 
主题
79 
注册时间
2011-7-2 
最后登录
2016-4-18 
1# 跳转到 » 倒序看帖
打印
tT
发表于 2011-7-13 13:03 | 只看该作者

Rebalancing strategies: CIPP

invest, borrow, stocks
Hi,

What happens if m * (Portfolio value - Floor) > Portfolio value ? Do we borrow at RFR to invest in stocks ?

Thanks,

Bern

 

相关主题：

. Reading 69: LOS b ～ Q1-6

. 2014CFA3级-每日一练-R8-004

. information ratio Level II note6 P232

. 求助一道官方课后习题~

. 请教一个probability的问题

收藏 分享

skycfa

Rank: 2

UID
222296 
帖子
337 
主题
13 
注册时间
2011-7-2 
最后登录
2014-10-26 
2#
发表于 2011-7-13 13:03 | 只看该作者
never saw it referred this way but I would guess yes.

TOP

bpdulog

Rank: 3Rank: 3

UID
222299 
帖子
420 
主题
7 
注册时间
2011-7-2 
最后登录
2015-12-15 
3#
发表于 2011-7-13 13:03 | 只看该作者
it could happen- your cushion imagine the M at 125 or 130%. that is a great question. doubt we'd ever see that scenario on the test, but yeah, wonder if you'd just fully invest the portfolio or actually go so far as to lever up.

TOP

ohai

Rank: 2

UID
222303 
帖子
400 
主题
8 
注册时间
2011-7-2 
最后登录
2015-11-28 
4#
发表于 2011-7-13 13:03 | 只看该作者
The maximum you can reach is m*(Portfolio value - floor) = Portfolio value.

At that point all your portfolio is invested in stocks.

TOP

返回列表
上一主题：Standard Deviation Disclosure in GIPS
下一主题：Duration, Interest Rate Option