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Tututu · 2024年10月23日

可以解释一下这个题的考点吗

  1. CFA I
  2. Portfolio

NO.PZ2018070201000114

问题如下：

Listed are some securities with different characteristics, in order to maximize risk-adjusted returns, which one should a portfolio manager seek to invest less?

选项：

A.

Securities with values of nonsystematic variance equal to 0.

B.

Securities with lower values for nonsystematic variance.

C.

Securities with higher values for nonsystematic variance.

解释：

C is correct.

Managers should give less weight for securities with greater nonsystematic risk in the portfolio if they want to maximize risk-adjusted returns

可以解释一下这个题的考点吗

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1 个答案

Kiko_品职助教 · 2024年10月23日

嗨，努力学习的PZer你好：


这道题考察的是对系统性风险和非系统性风险的理解。可以参考讲义里说的这句话。

只有系统性（无法规避）的风险才会予以收益补偿，非系统性风险由于可以通过分散化无成本的消除掉，并不会给予补偿，也就是即使是高非系统性风险，也不会有高收益。所以这道题里说如果要最大化收益的话，需要少投什么。所以需要少投非系统性风险比较多的资产，也就是少投C选项，因为投了也白投。


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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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