开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

Alisazm · 2025年02月08日

用Jensen alpha想可以吗

  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.

这道题可以用jensen's alpha的公式去思考吗。要想risk-adjusted return越高，capm算出来的那部分就要低，所以nonsystematic要低

添加评论
0 个答案

  • 0

    回答

  • 0

    关注

  • 1

    浏览
相关问题

NO.PZ2015121801000114 问题如下 Portfolio managers, who are maximizing risk-austereturns, will seek to invest less in securities with: A.lower values for nonsystematic variance. B.values of nonsystematic varianequto 0. C.higher values for nonsystematic variance. is correct.Sinmanagers are concernewith maximizing risk-austereturns, securities with greater nonsystematic risk shoulgiven less weight in the portfolio. 解答中提到“risk austereturns这里可以看成是sharpe ratio“，为什么？

2024-12-27 17:42 1 · 回答

NO.PZ2015121801000114 问题如下 Portfolio managers, who are maximizing risk-austereturns, will seek to invest less in securities with: A.lower values for nonsystematic variance. B.values of nonsystematic varianequto 0. C.higher values for nonsystematic variance. is correct.Sinmanagers are concernewith maximizing risk-austereturns, securities with greater nonsystematic risk shoulgiven less weight in the portfolio. 非系统性风险在组合中不会有额外补偿，就算mRAR这个目标，投资更多资产在low value还是high value都不会有更多的补偿，这俩都差不多吧

2024-09-01 18:07 1 · 回答

NO.PZ2015121801000114 问题如下 Portfolio managers, who are maximizing risk-austereturns, will seek to invest less in securities with: A.lower values for nonsystematic variance. B.values of nonsystematic varianequto 0. C.higher values for nonsystematic variance. is correct.Sinmanagers are concernewith maximizing risk-austereturns, securities with greater nonsystematic risk shoulgiven less weight in the portfolio. risk-austereturns是风险调整之后的收益率，是总风险还是系统性风险呢？T和J不能衡量 risk-austereturns吗？

2024-07-28 18:49 2 · 回答

NO.PZ2015121801000114 问题如下 Portfolio managers, who are maximizing risk-austereturns, will seek to invest less in securities with: A.lower values for nonsystematic variance. B.values of nonsystematic varianequto 0. C.higher values for nonsystematic variance. is correct.Sinmanagers are concernewith maximizing risk-austereturns, securities with greater nonsystematic risk shoulgiven less weight in the portfolio. 这道题提到了risk-austereturn，老师网课并没强调名称，翻课件可知，sharpe ratio边上写的是risk-austereturn, 而到了其他的ratio又写了R或systematic risk , 请问是一一对应的专指关系吗？还是说这几个ratio用这几个说法都行？如果是专指，能够下哪个对应的是哪个。另外就这套题来说，提到了非风险方差，是从方差来判断出使用哪个ratio，还是像上面那样专指出来的？非系统的方差指的就是非系统风险大小吧，非系统风险大，但非系统的风险又是可以分散的，这部分是没有risk premium的，return= Rf+risk premium, risk premium偏小，所以要少投资非系统方差大的？是这么理解吗？网课也没提到非系统方差部分的知识，只说了非系统风险。

2024-07-04 18:00 1 · 回答

NO.PZ2015121801000114 问题如下 Portfolio managers, who are maximizing risk-austereturns, will seek to invest less in securities with: A.lower values for nonsystematic variance. B.values of nonsystematic varianequto 0. C.higher values for nonsystematic variance. is correct.Sinmanagers are concernewith maximizing risk-austereturns, securities with greater nonsystematic risk shoulgiven less weight in the portfolio. 如果是要求收益最大化，不应该增加非系统风险高的产品（对应收益越高）吗

2024-05-28 08:55 1 · 回答