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cika · 2023年01月28日

麻烦老师讲下这道题,谢谢

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NO.PZ202207040100000405

问题如下:

From Exhibit 3, the replacement candidate fund that, if included, will most likely minimize the active risk of the final Amity equity fund is:

选项:

A.Ash. B.Blue. C.March.

解释:

Solution

A is correct. Active risk is a measure of the volatility of portfolio returns relative to the volatility of benchmark returns. The Ash fund will most likely minimize the active risk when combined in the final Amity equity portfolio because of its high covariance with the present fund. The low-covariance funds may reduce overall portfolio volatility but not active risk.

B is incorrect. The low covariance with the Amity portfolio will lower the overall volatility of the fund but not the active risk, because active risk measures the volatility of portfolio returns relative to that of the benchmark: This will be achieved through the substitution of a high-covariance fund.

C is incorrect. The low covariance with the Amity portfolio will lower the overall volatility of the fund but not the active risk, because active risk measures the volatility of portfolio returns relative to that of the benchmark: This will be achieved through the substitution of a high covariance fund.

麻烦老师讲下这道题,谢谢

1 个答案
已采纳答案

王园圆_品职助教 · 2023年01月28日

嗨,爱思考的PZer你好:


同学你好,你选错课程了,你这是三级的问题,选到二级的equity这里来答疑了。同学如果着急的话,可以重新选一下对应的三级equity课程,助教这里要明天晚上可能才能帮你把题目转给三级的老师哦

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2024-06-29 23:48 1 · 回答

NO.PZ202207040100000405Active risk的公式算法要求掌握嗎?這題可以從active risk公式的角度分析嗎?

2023-02-20 16:38 1 · 回答

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