chalanda

QUOTE:

以下是引用watnext2000在2011-6-6 5:56:00的发言：

这道题我好像选的是C.

 

F = S e ^(rf - lease rate)

所以implied rate 应该是 rf 减去 lease rate

哦，要看银行要求的价格，如果是spot，就是rf - lease rate了

如果是按the present value of future price，就是rf了

因为delivery是在future，所以按the present value of future price才是fair deal

但是题目中没提这个，这里估计是我想多了

chalanda

QUOTE:

以下是引用watnext2000在2011-6-6 5:55:00的发言：

忘了怎么算了, 但是好像performance-related 应该是 0.4 * return 吧? 不能直接加0.4

比如说HF的fee structure 是2/20, 2% + 20% * return 

我这个0.4好像是用incentive rate和active return乘出来得到的

watnext2000

QUOTE:

以下是引用chalanda在2011-6-6 6:03:00的发言：

哦，要看银行要求的价格，如果是spot，就是rf - lease rate了

如果是按the present value of future price，就是rf了

因为delivery是在future，所以按the present value of future price才是fair deal

但是题目中没提这个，这里估计是我想多了

呵呵, 大家最后可能都有点晕了. 我做错了好些不应该错的题. 我有点事情,先下了. good luck

watnext2000

QUOTE:

以下是引用chalanda在2011-6-6 6:04:00的发言：

我这个0.4好像是用incentive rate和active return乘出来得到的

可能是我算错了,看了前面的贴子,大家都选的12 一样. 估计是我什么地方算错了.

chalanda

QUOTE:

以下是引用watnext2000在2011-6-6 6:05:00的发言：

呵呵, 大家最后可能都有点晕了. 我做错了好些不应该错的题. 我有点事情,先下了. good luck

从公司的角度想，现在invest了一笔钱，在未来的几年中有determined cash flow

the return must be risk-free rate, and has nothing to do with the underlying

[此贴子已经被作者于2011-6-6 6:10:10编辑过]

chalanda

QUOTE:

以下是引用watnext2000在2011-6-6 6:05:00的发言：

呵呵, 大家最后可能都有点晕了. 我做错了好些不应该错的题. 我有点事情,先下了. good luck

Good luck!

chalanda

上午最后一题，问whether the stated investment style consistent with the data

manager A (interest rate management): inconsistent, interest rate management only contributes ~ 20% of the total active return

manager B (mispriced): hard to say, sector&security selection contributes ~ 50% of the total active return. But trading activity contributes to ~ 80% of the total active return.

我选的是inconsistent

chalanda

QUOTE:

以下是引用brightcool在2011-6-5 20:34:00的发言：
1 disclose to potential and current 2 at least one conflict with risk 3 right 4 survivorship 5 30% 6 A more aggressive 7 forget 8 forget 9 one constant mix one buy and hold 11 forget 12 hedge german 1.4% 13 don't deviate IPS 14 mental accounting

4 明显是data mining

chalanda

QUOTE:

以下是引用brightcool在2011-6-5 20:52:00的发言：
2 volatility in income stream is risk 4 choose company from public market means they survive now 5 tax rate rise as time horizon rise , no need to calculate 8 r-l 9 constant mix RISK INCREASE PROPOTION 11 tight 4.3% 13 can't deviate IPS

8 是r 不是r-l

lizihongle

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