NO.PZ2015121801000131
问题如下:
Returns on asset classes are best described as being a function of:
选项:
A.the failure of arbitrage.
B.exposure to the idiosyncratic risks of those asset classes.
C.exposure to sets of systematic factors relevant to those asset classes.
解释:
C is correct.
Strategic asset allocation depends on several principles. As stated in the reading, "One principle is that a portfolio’s systematic risk accounts for most of its change in value over the long run." A second principle is that, "the returns to groups of like assets… predictably reflect exposures to certain sets of systematic factors." This latter principle establishes that returns on asset classes primarily reflect the systematic risks of the classes.
我的理解:既然做portfolio,不同的资产类别就肯定是分散了非系统性风险,那风险就只剩下系统性风险,系统性风险的因素,和收益率之间建立函数?是不是就是CAPM公式?
B的idiosyncratic 我查字典是不寻常的特征的,也就是个股的风险,那么是可以被分散掉的。
A就是凑数的吧?
这套题这么理解对吗?看完答案之后还是觉得懵的,不明白说的到底是啥意思。