【FRM每日一题】二级：风险管理与投资管理（1）
备考FRM二级 | 2015-08-04
Which statement about risk control in portfolio construction is correct?
A.Quadratic programming allows for risk control through parameter estimation but generally requires many more inputs estimated from market data than other methods require.
B.The screening technique provides superior risk control by concentrating stocks in selected sectors based on expected alpha.
C.When using the stratification technique, risk control is implemented by overweighting the categories with lower risks and underweighting the categories with higher risks.
D.When using the linear programming technique, risk is controlled by selecting the portfolio with the lowest level of active risk.
Answer: A
Quadratic programming requires many more inputs than other portfolio construction techniques because it entails estimating volatilities and pair-wise correlations between all assets in a portfolio. Quadratic programming is a powerful process, but given the large number of inputs it introduces the potential for noise and poor calibration given the less than perfect nature of most data.
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