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冬冬Liu~💫💫 · 2022年11月01日

这道题难道不是求m的标准差吗

  1. CFA I
  2. Portfolio

NO.PZ2018070201000094

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 least amount of market risk.

B.

Security B has the least amount of market risk.

C.

Security C has the least amount of market risk.

解释：

B is correct.

The beta value of security A is=ρAmδAδm=1.4

The beta value of security B is =ρBmδBδm=1.33

The beta value of security C is=ρCmδCδm=1.5

Security B has the lowest beta value, therefore, it has the lowest amount of market risk.

同学你好

for A ,β=0.7*0.3/0.15=1.4

for B ,β=0.8*0.25/0.15=1.333

for C ,β=0.9*0.25/0.15=1.5


0.15怎么来的？这道题不是求市场风险也就是m吗。为什么算了β啊

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1 个答案

pzqa27 · 2022年11月03日

嗨，从没放弃的小努力你好：


对于股票而言，我们是用β衡量系统性风险，即市场风险，所以这里算市场风险大小就是在看β的大小

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努力的时光都是限量版，加油！

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