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ciaoyy · 2019年06月30日

问一道题:NO.PZ2016072602000028

问题如下图:

    

选项:

A.

B.

C.

D.

解释:


size越大,risk越大?

1 个答案

orange品职答疑助手 · 2019年07月01日

这里的risk可以理解成组合标准差的意思。当整个组合的size变大时,就相当于是总金额变大了,但因为其他都不变,所以整个组合的标准差就会同比例的变大。

orange品职答疑助手 · 2019年07月31日

可以这样理解,正齐次性

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NO.PZ2016072602000028问题如下 Tower Bank approaches economic capitand risk aggregation first estimating the stanalone economic capitfor invirisk factors. In a seconstep, the bank aggregates risks baseon the relative amounts of economic capitallocateto these risks, taking into account the correlations between risk factors. Whiof the following variables is not a primary iver of the versification benefit thaccrues from aggregation? The number of risk positions The size of the portfolio The concentration of those risk positions, or their relative weights in a portfolio The correlation between the positions B is correct. A portfolio is generally more versifiewhen it hmany positions, whiare not too large, anwith low correlations. Henanswers a., c., and involve ivers of versification. In contrast, risk measures are homogeneous with the size of the portfolio. ubling all the positions will uble the risk of the portfolio. 如题。risk position是什么意思?

2023-04-25 16:16 1 · 回答

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2021-11-24 01:39 1 · 回答

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2020-08-27 22:05 1 · 回答

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2020-03-18 16:06 1 · 回答

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