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苏·Xu · 2022年11月06日

问

  1. CFA I
  2. Portfolio

NO.PZ2018070201000114

问题如下：

Listed are some securities with different characteristics, in order to maximize risk-adjusted returns, which one should a portfolio manager seek to invest less?

选项：

A.

Securities with values of nonsystematic variance equal to 0.

B.

Securities with lower values for nonsystematic variance.

C.

Securities with higher values for nonsystematic variance.

解释：

C is correct.

Managers should give less weight for securities with greater nonsystematic risk in the portfolio if they want to maximize risk-adjusted returns

如果想要return大，那资产的风险也大。想要return大，必然要承担大的风险。有什么问题吗？

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已采纳答案

pzqa27 · 2022年11月06日

嗨，从没放弃的小努力你好：


这道题可以参照一下讲义。说的是只有系统性（无法规避）的风险才会予以收益补偿，非系统性风险由于可以通过分散化无成本的消除掉，并不会给予补偿，也就是即使是高非系统性风险，也不会有高收益。所以这道题里说如果要最大化收益的话，需要少投什么。所以需要少投非系统性风险比较多的资产，也就是少投C选项，因为投了也白投。加油。



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加油吧，让我们一起遇见更好的自己！

Frisbee · 2023年05月21日

既然非系统性风险都会被消除，那么投资经理选资产的时候不应该不用考虑资产的非系统性风险吗？

pzqa27 · 2023年05月22日

嗨，努力学习的PZer你好：


这个题给了前提是in order to maximize risk-adjusted returns，因此不用考虑非系统性风险，但是在实际做投资的时候，我们是需要考虑非系统性风险的

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加油吧，让我们一起遇见更好的自己！

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