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kanjani · 2024年04月02日

为什么可以用贝塔来衡量mvar?

NO.PZ2019042401000070

问题如下:

A money manager who has recently received a small amount of new capital is planning to invest this capital into an existing fund, which is benchmarked to an index. Rather than investing in a new asset to be included in the fund, the manager is planning to increase the holding of one of the fund’s four assets. Information about these assets, and their performances during the most recent evaluation period, are given below:


The portfolio manager wants to select the asset that has the lowest marginal VaR as long as its Jensen’s alpha is greater than or equal to the market risk premium. Assuming the risk-free interest rate is 3% and the market return is 8%, which asset should the portfolio manager select?

选项:

A.

Asset BDE

B.

Asset JKL

C.

Asset STU

D.

Asset MNO

解释:


为什么能使用贝塔呢?计算mvar的时候 贝塔不是总体的吗

1 个答案

pzqa39 · 2024年04月03日

嗨,从没放弃的小努力你好:


同学你好,因为这道题当中,对于所有的资产,VaRp/Valuep都是相同的,所以MVaR我们只看βi就可以了

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努力的时光都是限量版,加油!