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标题: Reading 25: Asset Allocation－LOS l [打印本页]

作者: tycoon 时间: 2008-9-17 11:09 标题: [2008] Session 7－Reading 25: Asset Allocation－LOS l

CFA Institute Area 3-5, 7, 12, 14-18: Portfolio Management
Session 7: Asset Allocation
Reading 25: Asset Allocation
LOS l: Discuss the structure of the minimum-variance frontier with a constraint against short sales.

作者: tycoon 时间: 2008-9-17 11:10

Constrained optimization usually involves an additional constraint that:

A) all asset class weights are positive.
B) asset class weights add up to 1.
C)
all asset class weights are non-negative.
D) some asset class weights are positive.

Answer and Explanation

The weight of all asset classes adding up to one is part of un-constrained optimization. Constrained optimization has an additional constraint that the weights of all the asset classes should be non-negative.

作者: pundit 时间: 2009-4-23 19:24

a

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