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mushroom1008 · 2018年10月28日

问一道题:NO.PZ2015121802000019 [ CFA I ]

问题如下图:

    

选项:

A.

B.

C.

解释:


1:在T1时刻为什么没有加上第一只股票涨的十块呢?我记得在数量里同样的题目是加上了的啊;2:这个知识点不应该放在portfolio中考察吧?

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已采纳答案

Shimin_CPA税法主讲、CFA教研 · 2018年10月28日

同学你好,能否找到数量中类似的这道题呢?

之所以不加涨的10块钱,是因为这部分没有产生实实在在的现金流,第一股股票是在t=2时刻才会因为卖出产生现金流的。

这部分不是组合管理的重点,组合管理中portfolio return & risk的计算更重要

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