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- 2011-7-2
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- 2015-12-18
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So is the expected and unexpected values of the portfolio and the benchmark always the same? How can it be if in the section below, the manager made duration bets?
For instance, dur(BM) = 10 and dur(port) = 9
If manager made an active bet how can the expected and unexpected return due to changes in the default free curve be the same? |
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发表于 2011-7-11 19:47
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