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庄鑫 · 2022年09月29日

求解

  1. CFA I
  2. Portfolio

NO.PZ2018070201000092

问题如下：

Tim, an analyst of an investment company forecasts the return and deviation of below securities. Based on these information, which statement is most correct:


 

选项：

A.

Security A has the highest total risk.

B.

Security B has the highest total risk.

C.

Security C has the highest total risk.

解释：

A is correct.

The total variance of security A is 0.3 2 =0.09

The total variance of security B is  0.25 2 =0.0625

The total variance of security C is  0.25 2 =0.0625

The total variance of A >The total variance of B =The total variance of C.

Security A has the highest total risk.

题目问的是Total risk，那应该跟资产与市场的敏感性有关，为什么beta在这里是无效信息？为什么不能说beta越大，资产波动性越大，也即risk越大？

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已采纳答案

Kiko_品职助教 · 2022年09月29日

嗨，从没放弃的小努力你好：


 beta 代表的是系统性风险，而variance或standard deviation代表的是总风险。请知悉。

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