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坏呼呼嘿嘿 · 2023年07月16日

这个残差项的方差怎么算出来的，为什么是sensitive的值

  1. CFA III
  2. Capital Market Expectations

NO.PZ2022122601000070

问题如下：

Cortez reviews RiteVal data (Exhibit 2) and preferred two-factor model with global equity and global bonds as the two common drivers of return for all other asset classes.


Using the multifactor model preferred by RiteVal and Exhibit 2, the standard deviation of U.S. real estate is closest to:

选项：

A.23.1%

B.

21.0%

C.24.5%

解释：

Correct Answer: A

F1 = Factor 1, Global Equity

F2 = Factor 2, Global Bonds

Var (F1) = 0.0250.5 = 0.1581

Var (F2) = 0.00140.5 = 0.0374

Cov(F1,F2) = σ1σ2ρ1,2 = 0.1518 × 0.374 × 0.33 = 0.002

Real estate factor sensitivities are bre,1 0.6 for sensitivity to global equity and bre,2 0.15 for global bonds. Residual risk variance (given) is Var(εre) = 0.044.

Square root of variance is the standard deviation = 0.231, or 23.1%.

中文解析：

F1 = Factor 1, Global Equity

F2 =因子2，全球债券

Var (F1) = 0.0250.5 = 0.1581

Var (F2) = 0.00140.5 = 0.0374

浸(F1、F2) =σ1,σ2ρ1,2 = 0.1518×0.374×0.33 = 0.002

房地产因素敏感性为bre，全球股票敏感性为1.06，全球债券敏感性为2.0.15。剩余风险方差(给定)Var(εre) = 0.044。


方差的平方根是标准差= 0.231，即23.1%。

这个残差项的方差怎么算出来的

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2 个答案

源_品职助教 · 2023年07月18日

嗨，爱思考的PZer你好：


表格第三行，最右边一列，提供了4.4%，即0.044的数据。

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加油吧，让我们一起遇见更好的自己！

源_品职助教 · 2023年07月17日

嗨，从没放弃的小努力你好：


先依据上述公式，算出方差。（讲义P200有这个公式的普通形式）

在对方差开平方算得标准差

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努力的时光都是限量版，加油！

坏呼呼嘿嘿 · 2023年07月17日

我说残差项的方差

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NO.PZ2022122601000070 问题如下 Cortez reviews RiteVta (Exhibit 2) anpreferretwo-factormol with globequity anglobbon the two common ivers of returnfor all other asset classes.Using themultifactor mol preferreRiteVanExhibit 2, the stanrviation ofU.S. reestate is closest to: A.23.1% B.21.0% C.24.5% CorreAnswer: AF1 =Factor 1, GlobEquityF2 = Factor 2, GlobBonV(F1)= 0.0250.5 = 0.1581V(F2) = 0.00140.5 = 0.0374Cov(F1,F2) = σ1σ2ρ1,2 =0.1518 × 0.374 × 0.33 = 0.002Reestate factorsensitivities are bre,1 0.6 for sensitivity to globalequity anbre,2 0.15 for globbon. Resirisk variance(given) is Var(εre) = 0.044. Square root of varianis the stanrviation =0.231, or 23.1%. 中文解析F1 = Factor 1, GlobEquityF2 =因子2，全球债券V(F1) = 0.0250.5 = 0.1581V(F2) = 0.00140.5 = 0.0374浸(F1、F2) =σ1,σ2ρ1,2 = 0.1518×0.374×0.33 = 0.002房地产因素敏感性为bre，全球股票敏感性为1.06，全球债券敏感性为2.0.15。剩余风险方差(给定)Var(εre) = 0.044。方差的平方根是标准差= 0.231，即23.1%。 如果用何老师教的填格子的方法做，是怎么做呢？可以给个图示么？ 谢谢

2024-08-07 19:04 5 · 回答

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