Chapter 4 · Section 6 practice

Walk-forward Decisions and Portfolio Accounts

0 of 3 answered

These questions review the examples in the companion slides. Choose an answer, then check the explanation.

Question 1

One of three 0.33-weight stocks is blocked by the risk rule. What follows from this policy?

  • The other stocks automatically rise to 0.495 each
  • The missing allocation stays in cash, and exposure falls from 0.99 to 0.66 before fees
  • The blocked stock’s return becomes zero in the source file
  • No transaction can occur

Question 2

The last nine candidates have pending outcomes. What is appropriate?

  • Delete them before predicting
  • Predict them if features are ready, but omit their unobserved holding periods from realised evaluation
  • Fill future returns with the training mean
  • Use their label-status flags as return predictors

Question 3

If NAV change equals P&L minus fees at every date, what has been established?

  • The strategy is profitable out of sample
  • The specified accounting identity holds for the supplied inputs
  • All source records were known historically
  • The model has a causal effect