Kim Yang makes the following two statements: 1) Statistical input forecasts derived from historical sample estimates often change over time, causing the estimated efficient frontier to change over time (this is called time instability). 2) Small changes in the statistical inputs can cause large changes in the efficient frontier, resulting in unreasonably small short positions, and overly frequent rebalancing. Kim’s statements are: 1) 2) A) correct correct B) correct incorrect C) incorrect correct D) incorrect incorrect See Schweser book 3 page 225 for answer.
A
i’ll go with A.
A as well
i’ll take B.
Going A.
I think this should be A. Time Instability and Overfitting?
Answer is B. 1) is correct 2) is incorrect … will lead to unreasonably large short positions, not small.
dude, errors in the statistical inputs could cause a vast number of incorrect holdings, including unreasonably small or large over/underweights or long/short positions.
I know the answer: A glass of Macallan cask strength. I forget the age.
Thinking about it for a few seconds, and I agree with you . But Schweser Book 3 page 225, and CFAI Book 6 page 374 seem to agree. So, I’m not making the connection…
I’m with Niblita on this one… man that sounds good right now.
Me too, but I’ll have to go with a glass of my Oban.
I’ve avoided drinking it for about a month. Couldn’t take it anymore.
Nib, I bet all bets are off on 6/7 about 5 pm…eh?
I already apologized to my new roommate (who I have never met before and will move in with right after the exam) for whatever I do that night.
That roommate, assuming they are going for the charter, will never fully understand your actions that night. He/she might always think you are a little nuts. 