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PoppyHu · 2020年02月24日

问一道题：NO.PZ2018070201000094

  1. CFA I
  2. Portfolio

问题如下：

Tim, an analyst of an investment company forecasts the return and deviation of below securities. Based on these information, which statement is most correct:

选项：

A.

Security A has the least amount of market risk.

B.

Security B has the least amount of market risk.

C.

Security C has the least amount of market risk.

解释：

B is correct.

The beta value of security A is=ρAmδAδm=1.4

The beta value of security B is =ρBmδBδm=1.33

The beta value of security C is=ρCmδCδm=1.5

Security B has the lowest beta value, therefore, it has the lowest amount of market risk.

想问具体数字带入的计算过程，谢谢！

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1 个答案

丹丹_品职答疑助手 · 2020年02月24日

嗨，努力学习的PZer你好：


同学你好

for A ,β=0.7*0.3/0.15=1.4

for B ,β=0.8*0.25/0.15=1.333

for C ,β=0.9*0.25/0.15=1.5

请知悉


-------------------------------
努力的时光都是限量版，加油！


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