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椰子皮 · 2022年08月22日

非系统性风险的疑惑

* 问题详情,请 查看题干

NO.PZ201803130100000202

问题如下:

In their discussion of the asset classes that Velky is interested in adding to the VP portfolio, Monteo should tell Velky that:

选项:

A.

these asset classes can be readily diversified to eliminate idiosyncratic risk.

B.

indexes are available for these asset classes that do an outstanding job of representing the performance characteristics of the asset classes.

C.

the risk and return characteristics associated with actual investment vehicles for these asset classes are typically significantly different from the characteristics of the asset classes themselves.

解释:

C is correct.

Less liquid asset classes—such as direct real estate, infrastructure, and private equity—represent unique challenges when applying many of the common asset allocation techniques. Common illiquid asset classes cannot be readily diversified to eliminate idiosyncratic risk, so representing overall asset class performance is problematic. Furthermore, there are far fewer indexes that attempt to represent aggregate performance for these less liquid asset classes than indexes of traditional highly liquid asset classes. Finally, the risk and return characteristics associated with actual investment vehicles—such as direct real estate funds, infrastructure funds, and private equity funds—are typically significantly different from the characteristics of the asset classes themselves.

还是不太明白A选项非系统性风险的概念。还

有,factor base的那个表达式,哪些属于非系统性风险,哪些属于系统性风险

3 个答案

lynn_品职助教 · 2023年08月04日

嗨,努力学习的PZer你好:


请问老师,非系统性风险到底是什么有定论了吗?size style momentum 这些已经发现的贝塔到底是不是,谢谢



随着跟同学的讨论,其实我对这一块的理解也越来越深了。其实在factor based方法当中,每一个Factor都可以拿出来靠,对冲掉手段,把它单独提取出来,但是这里对冲其实并不等于分散风险。


所以我们还是要回到定义来看,系统性风险无法被分散掉,非系统性风险可以被分散掉。




在这个模型中非系统性风险是全部放到 ε中了,这三个因子包括市场因子衡量的就是系统性风险。所以除了market之外的那几个常见factor是系统性风险。


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加油吧,让我们一起遇见更好的自己!

lynn_品职助教 · 2022年08月30日

嗨,从没放弃的小努力你好:


嗯嗯,这两个回答都是我回答的,是这样的,书上没有明确说哪些因子是系统性,哪些是非系统性,所以虽然一开始我认为图中的全是系统性风险是从定义的角度出发,后面参考了其他老师的观点,将anomalies 的这些分为非系统性风险。

这个问题我一直在思考,并且阅读了论文和资料,我们就从Fama and French的三个因子来分析,看回归模型如下图,

在这个模型中非系统性风险是全部放到 ε中了,这三个因子包括市场因子衡量的就是系统性风险。所以除了market之外的那几个常见factor是系统性风险。

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努力的时光都是限量版,加油!

fresh · 2023年08月03日

请问老师,非系统性风险到底是什么有定论了吗?size style momentum 这些已经发现的贝塔到底是不是,谢谢

lynn_品职助教 · 2022年08月22日

嗨,努力学习的PZer你好:


即不是资产普遍面临的利率风险等,而是独特的风险敞口(specific exposure),比如买日本福岛的房子,除了像汇率风险、利率风险之外还有核辐射的风险。

 

见图,这些分别是equity 和bond一些常见的factor,都是系统性风险,非系统性风险是指A公司的股权和债券遇到的风险,别的公司都没有。


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虽然现在很辛苦,但努力过的感觉真的很好,加油!

椰子皮 · 2022年08月30日

老师,除了market之外的那几个常见factor,到底属不属于系统性风险?您看下面的解答,感觉和您说的不太一致? 同学,像我之前回复过你的,非系统性是独特的风险,factor based里的factor 既有market premium (也就是承担systematic risk带来的回报),也有anomalies ,举了很多例子,包括size,value, momentum等,就是非系统性风险。只需要记住一个就可以了,系统性风险无法被分散掉,非系统性风险可以被分散掉。

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