开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

pepperhyp · 2023年08月16日

关于这道题答案的公式

  1. CFA III
  2. Equity

NO.PZ2023010903000072

问题如下：

Based on Exhibit 2, the portion of total portfolio risk that is explained by the market factor in Fund 1’s existing portfolio is closest to:


选项：

A.

3%

B.

81%

C.

87%

解释：

The portion of total portfolio risk explained by the market factor is calculated in two steps. The first step is to calculate the contribution of the market factor to total portfolio variance as follows:

The second step is to divide the resulting variance attributed to the market factor by the portfolio variance of returns, which is the square of the standard deviation of returns:

Portion of total portfolio risk explained by the market factor = 0.001223/(0.0374)2

Portion of total portfolio risk explained by the market factor = 87%

这道题是按照李老师上课教的方法来计算的

但是公式，李老师上课讲的会有乘以2，答案是没有的，这个是不是答案表述有问题呀？

添加评论
1 个答案

笛子_品职助教 · 2023年08月17日

嗨，努力学习的PZer你好：


李老师在这里说，可以用九宫格的方法来计算和记忆。

这道题和教材例题的解法，是一模一样的。


例题的股票权重，就是这道习题的因子系数。



以上例题红框里的公式，和本题公式：


例题与习题，使用的是同样的计算方法。


因此，本题的答案并没有问题哦~


同学说李老师讲乘以2，可以发一下具体视频的位置，老师看看视频的上下文语境，这里需要结合语境去理解。




----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

杨超 · 2023年08月30日

我也有同样疑问，主要是CME 通关课补充题目的1.4题。那里乘以2 了。 临近考试请老师解答，感谢！

  • 1

    回答

  • 1

    关注

  • 415

    浏览
相关问题

NO.PZ2023010903000072 问题如下 Baseon Exhibit 2, the portion of totportfolio risk this explainethe market factor in Fun1’s existing portfolio is closest to: A.3% B.81% C.87% The portion of totportfolio risk explainethe market factor is calculatein two steps. The first step is to calculate the contribution of the market factor to totportfolio varianfollows:The seconstep is to vi the resulting varianattributeto the market factor the portfolio varianof returns, whiis the square of the stanrviation of returns:Portion of totportfolio risk explainethe market factor = 0.001223/(0.0374)2Portion of totportfolio risk explainethe market factor = 87% 两个问题1.为什么coefficient可以直接作为权重weight, coefficient在统计学中应该是bet而beta=cov/(σm^2), 和weight还是有区别的，所以这里我不理解2.最终结果算risk的占比或者说risk的贡献，什么情况下用方差相除，什么情况下用标准差相除？

2024-05-21 17:05 1 · 回答

NO.PZ2023010903000072问题如下 Baseon Exhibit 2, the portion of totportfolio risk this explainethe market factor in Fun1’s existing portfolio is closest to: A.3%B.81%C.87% The portion of totportfolio risk explainethe market factor is calculatein two steps. The first step is to calculate the contribution of the market factor to totportfolio varianfollows:The seconstep is to vi the resulting varianattributeto the market factor the portfolio varianof returns, whiis the square of the stanrviation of returns:Portion of totportfolio risk explainethe market factor = 0.001223/(0.0374)2Portion of totportfolio risk explainethe market factor = 87% 因子系数咋么可以用做因子权重呢，不理解这个关联性，辛苦老师下

2024-01-28 11:45 1 · 回答

NO.PZ2023010903000072 问题如下 Baseon Exhibit 2, the portion of totportfolio risk this explainethe market factor in Fun1’s existing portfolio is closest to: A.3% B.81% C.87% The portion of totportfolio risk explainethe market factor is calculatein two steps. The first step is to calculate the contribution of the market factor to totportfolio varianfollows:The seconstep is to vi the resulting varianattributeto the market factor the portfolio varianof returns, whiis the square of the stanrviation of returns:Portion of totportfolio risk explainethe market factor = 0.001223/(0.0374)2Portion of totportfolio risk explainethe market factor = 87% 例题用的weights,这里没有，还是不太一样，老师能否演示一下？

2024-01-06 15:48 1 · 回答

NO.PZ2023010903000072 问题如下 Baseon Exhibit 2, the portion of totportfolio risk this explainethe market factor in Fun1’s existing portfolio is closest to: A.3% B.81% C.87% The portion of totportfolio risk explainethe market factor is calculatein two steps. The first step is to calculate the contribution of the market factor to totportfolio varianfollows:The seconstep is to vi the resulting varianattributeto the market factor the portfolio varianof returns, whiis the square of the stanrviation of returns:Portion of totportfolio risk explainethe market factor = 0.001223/(0.0374)2Portion of totportfolio risk explainethe market factor = 87% 为什么计算market 和其他因子的影响的时候不用乘2呢，按照用画图（类似九宫格）的方法来求组合的方差的时候，是要乘2呀，比如2*w1*w2*covariance

2023-08-29 16:44 1 · 回答