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June · 2019年10月29日

问一道题:NO.PZ2016070702000001

问题如下:

An investment manager is given the task of beating a benchmark. Hence the risk should be measured in terms of

选项:

A.

Loss relative to the initial investment

B.

Loss relative to the expected portfolio value

C.

Loss relative to the benchmark

D.

Loss attributed to the benchmark

解释:

C is correct. This is an example of risk measured in terms of deviations of the active portfolio relative to the benchmark. Answers A and B are incorrect because they refer to absolute risk. Answer D is also incorrect because it refers to the absolute risk of the benchmark.

test

1 个答案
已采纳答案

orange品职答疑助手 · 2019年10月29日

因为他是想打败benchmark的,这相当于是主动投资,主动投资的风险度量可以用tracking error来表征(就是 超额收益的标准差)。因为主动投资,所以自然是和benchmark比,选C