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zkii · 2020年01月20日

问一道题:NO.PZ201710200200000105

* 问题详情,请 查看题干

问题如下:

5. To address his concern regarding the previous adviser’s asset allocation approach, Raye should assess the Laws’ portfolio using:

选项:

A.

a homogeneous and mutually exclusive asset class–based risk analysis.

B.

a multifactor risk model to control systematic risk factors in asset allocation.

C.

an asset class–based asset allocation approach to construct a diversified portfolio.

解释:

B is correct.

Raye believes the Laws’ previous financial adviser followed an asset allocation approach that resulted in an overlap in risk factors among asset classes. A multifactor risk model approach can be used to address potential risk factor overlaps. Risk factor approaches to asset allocation focus on assigning investments to the investor’s desired exposures to specified risk factors. These methods are premised on the observation that asset classes often exhibit some overlaps in sources of risk.

这题看的不是特别懂。老师方便详细解释一下吗,非常感谢

1 个答案

Shimin_CPA税法主讲、CFA教研 · 2020年01月21日

嗨,努力学习的PZer你好:


这道题目考的是factor based approach,对应内容在基础班讲义69页。

asset class approach的资产配置,就是在不同的资产类别中做出最优的配比,这种方法的缺点是组合会受到哪些风险因子的影响并不能准确衡量,而且不同资产类型有可能会对同一个风险因子有敏感性。比如美国的 股票 和 公司债 都会受到波动性、汇率、流动性等因素的影响,所以在这些风险因素上,不同资产类型也会有交叉。factor based approach的投资理念就是针对风险因子来做投资,优点是直接投资了风险因子而不是资产大类,所以分散化效果更好。


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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!


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NO.PZ201710200200000105问题如下5. To aress his concern regarng the previous aiser’s asset allocation approach, Raye shoulassess the Laws’ portfolio using:A.a homogeneous anmutually exclusive asset class–baserisk analysis.B.a multifactor risk mol to control systematic risk factors in asset allocation.C.asset class–baseasset allocation approato construa versifieportfolio. B is correct. Raye believes the Laws’ previous financiaiser followeasset allocation approathresultein overlin risk factors among asset classes. A multifactor risk mol approacuseto aress potentirisk factor overlaps. Risk factor approaches to asset allocation focus on assigning investments to the investor’s sireexposures to specifierisk factors. These metho are premiseon the observation thasset classes often exhibit some overlaps in sources of risk.考点factor-baseapproach解析Raye担心的是overlin risk factors among asset classes for the portfolio。换句话说,风险因子相互重叠是之前基金经理的不足,现在想要改进,应该用什么方法。想要解决这个问题,可以使用factor-baseapproach,基于不同的风险因子来投资,这样就避免了在某个风险因子上投的过于集中的问题。 如题,对此两种方法印象不深。

2022-12-05 14:02 1 · 回答

NO.PZ201710200200000105 为什么risk factor base法是控制系统性风险?不能对非系统性风险产生影响吗?

2021-11-20 19:45 1 · 回答

a multifactor risk mol to control systematic risk factors in asset allocation. asset class–baseasset allocation approato construa versifieportfolio. B is correct. Raye believes the Laws’ previous financiaiser followeasset allocation approathresultein overlin risk factors among asset classes. A multifactor risk mol approacuseto aress potentirisk factor overlaps. Risk factor approaches to asset allocation focus on assigning investments to the investor’s sireexposures to specifierisk factors. These metho are premiseon the observation thasset classes often exhibit some overlaps in sources of risk.文章讲了之前的基金经理也是用overlap风险因子呀,没有说是用asset class approach,已经overlap风险因子了,还需要用多因素风险因子吗?

2020-09-30 15:59 1 · 回答