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qyang · 2019年01月14日

问一道题:NO.PZ201512300100000305 第5小题 [ CFA II ]

* 问题详情,请 查看题干

问题如下图:

选项:

A.

B.

C.

解释:

为什么beta是1?

1 个答案

maggie_品职助教 · 2019年01月14日

答案说贝塔等于1只是假设,因为题干中没有给出确切贝塔的信息。这道题只是估计要求回报率,所以为了简单起见,答案就是假设贝塔=1。加油。

qyang · 2019年01月14日

但是如果我假设一个不一样的beta 数,答案就不一样了呀

maggie_品职助教 · 2019年01月15日

你的问题非常好,这里是我的回答有误,非常抱歉。BETA=1是因为这道题目中有写到“average systematic risk ”。平均的系统性风险就等于大盘的系统性风险,所以等于1。

qyang · 2019年01月15日

谢谢!

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