标题: CFA L3 两个问题 [打印本页] 作者: rosicky08 时间: 2015-3-28 07:36 标题: CFA L3 两个问题
1. misfit active risk contribute to true active return？
2. 1. In stock hedging with future, when effective beta (% change in value of portfolio / % change in value of index) is bigger than target beta,
为什么“portfolio beta is greater than expected and future beta will be less than expected” ? SchweserNotes Book 4, page 93
我觉得因为short future contract, future beta 小于预期. But if we are long future contract and effective beta is greater than target beta, both portfolio beta and future beta can be bigger than expected ??作者: jiawei333 时间: 2015-4-2 17:12
