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CFA一定过！ · 2023年10月29日

公式

  1. CFA I
  2. Portfolio

NO.PZ2018070201000094

问题如下：

Tim, an analyst of an investment company forecasts the return and deviation of below securities. Based on these information, which statement is most correct:

选项：

A.

Security A has the least amount of market risk.

B.

Security B has the least amount of market risk.

C.

Security C has the least amount of market risk.

解释：

B is correct.

The beta value of security A is=ρAmδAδm=1.4

The beta value of security B is =ρBmδBδm=1.33

The beta value of security C is=ρCmδCδm=1.5

Security B has the lowest beta value, therefore, it has the lowest amount of market risk.

根据CAPM公式，securities A和B的expected Return一样，为什么Beita会不一样

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1 个答案

Kiko_品职助教 · 2023年10月30日

嗨，努力学习的PZer你好：


这道题没有说A和B的expected return是根据CAPM公式计算出来的啊。如果目前的收益率跟按照CAPM计算出来的合理收益率水平一样的话，那么他们的beta就是一样的。

做题的时候要抓住思考角度，这道题选项里面问的都是market risk市场风险的，也就是β，表格里面又给了ρ和δ，这很明显是考察beta的计算的。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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