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苏·Xu · 2024年12月27日

组合

  1. CFA I
  2. Portfolio

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.

解答中提到“risk adjusted returns这里可以看成是sharpe ratio“，为什么？

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