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苏·Xu · 2024年12月27日

组合

NO.PZ2022081802000048

问题如下:

An analyst gathers the following information:


Which security has the least amount of market risk?

选项:

A.Security 1. B.Security 2. C.Security 3.

解释:

Solution

B is correct. Security 2 has the lowest beta value; 0.93 = ρ2,mσ2σm=(0.70)(20%)15% compared to Security 1 and 3 with beta values of 1.00 and 1.07, respectively.

market risk 就是系统性风险吗?

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