I could not understand the explanation of the answer. The perfect timing portfolio will outperform the 100% TBill for sure, but why would it not be more risky that the 100% TBill portfolio?
I think the book just means that the indicated STDeviation has no statistical meaning in this particular case; therefore we should not judge the relative risk of the timing portfolio by its STDeviation.
My understanding stops there…
发表于 2013-4-8 20:03
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