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

fdzh · 2023年10月27日

beta怎么能与portfolio的权重联系上的,这点不明白

NO.PZ2023091901000062

问题如下:

Portfolio A has two risk factors. The beta of risk factor 1 was 0.60, and the beta of risk factor 2 was 0.30. Bob, the portfolio manager, wants to hedge all of these risk factors but doesn't want to sell the portfolio. Which of the following operations is expected to achieve the results?

选项:

A.

buy a hedge portfolio: the first factor accounts for 60% of the portfolio, the second factor accounts for 30% of the portfolio, and the risk-free assets account for 10%

B.

Short a hedge portfolio: the first factor accounts for 60% of the portfolio, the second factor accounts for 30% of the portfolio, and the risk-free assets account for 10%

C.

Short a hedge portfolio: the first factor accounts for 30% of the portfolio, the second factor accounts for 60% of the portfolio, and the risk-free assets account for 10%

D.

Buy a hedge portfolio: the first factor accounts for 30% of the portfolio, the second factor accounts for 60% of the portfolio, and the risk-free assets account for 10%

解释:

By hedging a portfolio with short position, an investor will offset the factor risk of the original portfolio. In this case, exposures of 0.60 and 0.30 are offset by short positions in the hedged portfolio that also have exposures of 0.60 and 0.30.

为什么beta = 0.6,就应该short 60%的factor 1 而不是30%?

1 个答案

李坏_品职助教 · 2023年10月27日

嗨,努力学习的PZer你好:


factor1和factor2的beta指的是他们各自在股票组合的收益率的影响因素中所占的比重。


股票组合的收益率的影响因素一共占100%,其中factor1占了60%,factor2占30%。


为了把这两个factor的影响彻底磨平,那就应该short一个组合,这个short的组合应该是factor1占60%,factor2占了30%。这样才能恰好抵消前面那个股票组合的收益率的影响因素。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

  • 1

    回答
  • 0

    关注
  • 196

    浏览
相关问题