NO.PZ202206260100000402
问题如下:
When recommending a risk-based approach to asset selection, Thompson is most likely correct regarding which of the following?选项:
A.Benefit 1 B.Benefit 2 C.Benefit 3解释:
SolutionA is correct. Traditional approaches to defining the investment opportunity set tend toward broad asset classes that can contain assets with very divergent risk levels. For example, fixed income can contain government bonds with little or no default risk and high-yield bonds that have very high levels of the default risk. A risk-based approach seeks to measure the sensitivity of each asset to a specific set of risk factors and would treat government bonds and high-yield bonds very differently because of their different sensitivities to default risk or credit spreads and to liquidity, inflation, and potentially other risk factors.
B is incorrect. Risk-based approaches generally do a very good job of accounting for the overall risk of publicly traded assets, with R2 values of 0.8–1.0. They do less well at accounting for the overall risks of alternative assets, with R2 values of 0.3–0.7. This level of unexplained risk is due to the use of appraisals for valuation, heavier reliance on manager choices, and other idiosyncratic risks.
C is incorrect. It is true that risk-based approaches identify a single set of common risk factors and estimate the sensitivities of each asset to these factors. Risk factors, however, are sensitive to the historical period examined for the estimation procedure; therefore, risk factor sensitivities are not stable over time.
麻烦老师讲下A选项,谢谢