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Erstellt / Aktualisiert 10.02.2016 / 08.03.2020
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Fenster schliessen
Chapter 30 - A risk budgeting strategy that allocates risks equally across asset classes in the portfolio refers to?
Risk parity
Fenster schliessen
Chapter 30 - What are the 3 steps to apply risk parity?
- define total risk of the portfolio - calculate marginal risk contribution of each asset class to the total risk of the portfolio - detemine portfolio weights
Fenster schliessen
Chapter 31 - State 4 ways to seperate Alpha from Beta.
- futures contracts - swap contracts - options - long and short positions in indices using ETFs and cash products
Fenster schliessen
Chapter 31 - State the process when using futures to offset small -cap risk and layer on the risk of the S&P500
- invest cash in the small -cap strategy to generate alpha - take short position in a small -cap index using futures contracts to offset small -cap risk - take long position in the S&P500 via S&P500 futures to layer on the risk exposure of large -cap stocks
Fenster schliessen
Chapter 31 - exploiting opportunities to increase alpha while simultaneously managing beta exposure to a target level refers to?
Portable Alpha