yan · 2024年05月28日
NO.PZ2015121801000114
问题如下：
Portfolio managers, who are maximizing risk-adjusted returns, will seek to invest less in securities with:
选项：
A.lower values for nonsystematic variance.
B.values of nonsystematic variance equal to 0.
C.higher values for nonsystematic variance.
解释：
C is correct.
Since managers are concerned with maximizing risk-adjusted returns, securities with greater nonsystematic risk should be given less weight in the portfolio.
如果是要求收益最大化，不应该增加非系统风险高的产品（对应收益越高）吗
NO.PZ2015121801000114 问题如下 Portfolio managers, who are maximizing risk-austereturns, will seek to invest less in securities with: A.lower values for nonsystematic variance. B.values of nonsystematic varianequto 0. C.higher values for nonsystematic variance. is correct.Sinmanagers are concernewith maximizing risk-austereturns, securities with greater nonsystematic risk shoulgiven less weight in the portfolio. 非系统性风险在组合中不会有额外补偿，就算mRAR这个目标，投资更多资产在low value还是high value都不会有更多的补偿，这俩都差不多吧
NO.PZ2015121801000114 问题如下 Portfolio managers, who are maximizing risk-austereturns, will seek to invest less in securities with: A.lower values for nonsystematic variance. B.values of nonsystematic varianequto 0. C.higher values for nonsystematic variance. is correct.Sinmanagers are concernewith maximizing risk-austereturns, securities with greater nonsystematic risk shoulgiven less weight in the portfolio. risk-austereturns是风险调整之后的收益率，是总风险还是系统性风险呢？T和J不能衡量 risk-austereturns吗？
NO.PZ2015121801000114 问题如下 Portfolio managers, who are maximizing risk-austereturns, will seek to invest less in securities with: A.lower values for nonsystematic variance. B.values of nonsystematic varianequto 0. C.higher values for nonsystematic variance. is correct.Sinmanagers are concernewith maximizing risk-austereturns, securities with greater nonsystematic risk shoulgiven less weight in the portfolio. 这道题提到了risk-austereturn，老师网课并没强调名称，翻课件可知，sharpe ratio边上写的是risk-austereturn, 而到了其他的ratio又写了R或systematic risk , 请问是一一对应的专指关系吗？还是说这几个ratio用这几个说法都行？如果是专指，能够下哪个对应的是哪个。另外就这套题来说，提到了非风险方差，是从方差来判断出使用哪个ratio，还是像上面那样专指出来的？非系统的方差指的就是非系统风险大小吧，非系统风险大，但非系统的风险又是可以分散的，这部分是没有risk premium的，return= Rf+risk premium, risk premium偏小，所以要少投资非系统方差大的？是这么理解吗？网课也没提到非系统方差部分的知识，只说了非系统风险。
NO.PZ2015121801000114问题如下Portfolio managers, who are maximizing risk-austereturns, will seek to invest less in securities with:A.lower values for nonsystematic variance.B.values of nonsystematic varianequto 0.C.higher values for nonsystematic variance.is correct.Sinmanagers are concernewith maximizing risk-austereturns, securities with greater nonsystematic risk shoulgiven less weight in the portfolio.如果按照M2，市场总体方差一致的情况下，标的资产方差越小，预期回报率越高，所以要减少回报率大的的资产配置，对么？
