FRM真题练习，备考的考生必不可少！

发布时间：2021-06-02 09:33编辑：融跃教育FRM

备考FRM的考生都知道，FRM考生要掌握不仅要掌握教材的知识，还需要对一些习题的练习必不可少。尤其是近几年的练习题，不仅可以了解考试的重难点在哪里，而且在做题的过程中也能查漏补缺！

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.》》》戳：免费领取FRM各科视频讲义+历年真题+21年原版书（PDF版）

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 risk.

D) When using the linear programming technique, risk is controlled by selecting the portfolio with the lowest level of active risk.

答案：A 【资料下载】FRM一级思维导图PDF版

解析：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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