以下是引用chalanda在2011-6-6 5:25:00的发言： 有一个题 indexing strategy 是选optimization还是stratified？ the objective is to minimize transaction cost and tracking error in the same time。 optimization minimizes tracking error but has large transaction cost。 stratified has moderate t-cost and tracking error。我原来选stratefied后来改称optimization，现在想想还是stratify对。 Actually, t-cost and tracking error is a trade-off and cannot be minimized simultaneously。 one possible method is to use an objective function as a weighted sum of t-cost and tracking error。
full replication. 书上原题. full replication 可以减少rebalancing cost. 题目要求的是minimize rebalancing cost 不是 transaction cost
statement 1: increased vol increases convenience yield
statement 2: increased convenience yield reduce rolling yield
我选1对2错，关键看rolling yield is defined for long strategy only or depends on the side，你选的哪个
发表于 2011-6-6 05:26
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