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标题: CFA LIII 教材一句话的理解 [打印本页]

作者: lym_richard    时间: 2020-1-22 10:42     标题: CFA LIII 教材一句话的理解

Read27 asset allocation to alternative investment中有这么一句话,烦请网友能帮忙解释下什么含义:Most hedge fund arbitrage strategies involve some degree of "short volatility" risk. Because of the "short volatility” risk , the volatility in an arbitrage strategy is non-symmetrical;the aggregate volatility may look muted if the period from which the data are drawn does not inclued amarket stress period.

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