题目问的是risk而不是variance，为啥不需要开根号

NO.PZ2023010903000072

问题如下：

Based on Exhibit 2, the portion of total portfolio risk that is explained by the market factor in Fund 1’s existing portfolio is closest to:

选项：

81%

87%

解释：

The portion of total portfolio risk explained by the market factor is calculated in two steps. The first step is to calculate the contribution of the market factor to total portfolio variance as follows:

The second step is to divide the resulting variance attributed to the market factor by the portfolio variance of returns, which is the square of the standard deviation of returns:

Portion of total portfolio risk explained by the market factor = 0.001223/(0.0374)2

Portion of total portfolio risk explained by the market factor = 87%

题目问的是risk而不是variance，为啥答案用0.001223/（0.0374）^2=87%，而不是用（0.001223）^0.2/0.0374=94%

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1 个答案

笛子_品职助教 · 2025年01月23日

嗨，爱思考的PZer你好：

Hello，亲爱的同学~

同学注意：这个知识点来自书本例题。

在书本例题里，使用的是方差相除。

因此CFA如果出到这里的题目，也只能有方差相除。

这个知识点不可以使用标准差相除。

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加油吧，让我们一起遇见更好的自己！

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