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.
非系统性风险在组合中不会有额外补偿,就算max RAR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