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QUOTE:
以下是引用xiaoming_bo在2010-6-8 22:02:00的发言:

我也說一個吧,8181上午essay有要求hedge掉systematic risk,求多少個future,大概是5230多個附近,後面緊跟著問effective beta,假設hedge用了5200個future,好像算出來基本上hedge是有效的,beta=0.008左右

 

這個題是不是期權那一題的,我怎麼沒印象?

這題 我也是算出差不多這樣的數字 5237.6 左右的樣子 然後直接short 5238  ,      beta=0.008x

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QUOTE:
以下是引用mumue在2010-6-8 14:28:00的发言:
请叫我乱做题小天王图片点击可在新窗口打开查看
[此贴子已经被作者于2010-6-8 14:35:32编辑过]

厉害,能上3级来乱的,就你一个了

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QUOTE:
以下是引用sankwok在2010-6-8 23:40:00的发言:

this question is related to private wealth or asset management ?as i am quite sure if it is from private banking, consultants are required to vote the proxies for each client subjected to their best interest. therefore, a consultant can vote some "agree" proxies and some "disagree" proxies .

this act is the most ethical and matched the spirit of ethics code or GPIS
[此贴子已经被作者于2010-6-8 23:41:38编辑过]

If his account is seperate managed account, it should be vote according to the client's opinion, but this is a pooled managed discretionary account!!!

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QUOTE:
以下是引用prso在2010-6-8 19:43:00的发言:

clawback

 

说如果performance没到hurdle rate要收钱回来~~

什么呀,乱说,high water mark,好不好?

基金里面哪有claw back啊

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QUOTE:
以下是引用bigboylht在2010-6-9 9:58:00的发言:

什么呀,乱说,high water mark,好不好?

基金里面哪有claw back啊

...PE  OK?

PE哪来high water mark?

 

这个问题有什么可争议的? 我前面已经给出书上的页码了,自己读读不行了。。。。

 

我在给一遍:

clawback 在Book 5 page 36  

HWM 在book 5 page 64

 

PE从哪来得HWM。。。 

 

 

 

[此贴子已经被作者于2010-6-9 10:36:50编辑过]

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想起来一道题,大家在GIPS中计算是怎么做的?是用的mod dietz 吗?

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QUOTE:
以下是引用sunandsky在2010-6-9 11:31:00的发言:
想起来一道题,大家在GIPS中计算是怎么做的?是用的mod dietz 吗?

具体点吧,已经有点记不太清了

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QUOTE:
以下是引用sunandsky在2010-6-9 11:31:00的发言:
想起来一道题,大家在GIPS中计算是怎么做的?是用的mod dietz 吗?

不是,题目里定义了Large cash flow,我用Time Weight Retun linking 每一个小的Holding Period Return来做的~~

[此贴子已经被作者于2010-6-9 11:45:31编辑过]

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QUOTE:
以下是引用sankwok在2010-6-8 23:44:00的发言:

A good hedge of inflation must be storable ! Gas and oil and gold are storable ..people will buy to hedge .....

我从corn改到了GAS,考虑的就是storage cost。

因为记得good hedge should be storable, but my understanding is that gas is very expensive to store and thus is regarded as non-stroable.

 

难道改错了?

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QUOTE:
以下是引用prso在2010-6-9 11:45:00的发言:

不是,题目里定义了Large cash flow,我用Time Weight Retun linking 每一个小的Holding Period Return来做的~~

[此贴子已经被作者于2010-6-9 11:45:31编辑过]

哦,没用modi-dietz

就是算了两个TWR, 然后link起来

一个正回报,一个负回报

最终多少已经不记得了,应该不难的题目阿

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