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cika · 2023年02月04日

麻烦老师讲下A选项

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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:

Solution

A 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

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已采纳答案

伯恩_品职助教 · 2023年02月06日

嗨,从没放弃的小努力你好:


定义investment opportunity set的传统方法倾向于广泛的资产类别,其中可能包含风险水平非常不同的资产。例如,固定收益可以包含违约风险很小或没有违约风险的政府债券和违约风险非常高的高收益债券。A risk-based approach旨在衡量每项资产对一组特定风险因素的敏感性,并且会以不同的方式对待政府债券和高收益债券,因为它们对违约风险或信用利差以及对流动性、通货膨胀和潜在的其他风险因素的敏感性不同。

即:Traditional approaches会将看起来一样的资产但实际差价很大的资产放在一起,比如垃圾债和国债。A risk-based approach会根据资产的实际特制做资产划分,垃圾债会和股票放在一起。所以A risk-based approach相对Traditional approaches不会因为仅仅表面的一些特制就将资产划分在一起。所以A对

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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