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尹梦宁🎃 · 2024年07月10日

residual risk 什么时候指方差什么时候指标准差？

  1. CFA III
  2. Capital Market Expectations

NO.PZ2022122601000070

问题如下：

Cortez reviews RiteVal data (Exhibit 2) and preferred two-factor model with global equity and global bonds as the two common drivers of return for all other asset classes.


Using the multifactor model preferred by RiteVal and Exhibit 2, the standard deviation of U.S. real estate is closest to:

选项：

A.23.1% B.

21.0%

C.24.5%

解释：

Correct Answer: A

F1 = Factor 1, Global Equity

F2 = Factor 2, Global Bonds

Var (F1) = 0.0250.5 = 0.1581

Var (F2) = 0.00140.5 = 0.0374

Cov(F1,F2) = σ1σ2ρ1,2 = 0.1518 × 0.374 × 0.33 = 0.002

Real estate factor sensitivities are bre,1 0.6 for sensitivity to global equity and bre,2 0.15 for global bonds. Residual risk variance (given) is Var(εre) = 0.044.

Square root of variance is the standard deviation = 0.231, or 23.1%.

中文解析：

F1 = Factor 1, Global Equity

F2 =因子2，全球债券

Var (F1) = 0.0250.5 = 0.1581

Var (F2) = 0.00140.5 = 0.0374

浸(F1、F2) =σ1,σ2ρ1,2 = 0.1518×0.374×0.33 = 0.002

房地产因素敏感性为bre，全球股票敏感性为1.06，全球债券敏感性为2.0.15。剩余风险方差(给定)Var(εre) = 0.044。


方差的平方根是标准差= 0.231，即23.1%。

做题的时候经常混淆，请问现在官方有没有统一的口径定义residual risk是方差还是标准差？谢谢

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1 个答案

源_品职助教 · 2024年07月10日

嗨，从没放弃的小努力你好：



原版书正文现在已经不涉及了。

从过去官方出的MOCK题来看，residual risk还是当做方差来使用的，不客气哈。

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努力的时光都是限量版，加油！

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