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才疏学浅 · 2018年10月10日

问一道题:NO.PZ2018070201000092 [ CFA I ]

问题如下图:

    

选项:

A.

B.

C.

解释:


您好老师,请问总风险应该是系统性风险+非系统性风险吧,为什么只用
delta^2进行衡量呢?不需要加上beta么?

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Shimin_CPA税法主讲、CFA教研 · 2018年10月10日

同学你好, beta 代表的是系统性风险,而variance(有的时候用standard deviation)代表的是总风险。

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