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Allez😃Sea · 2020年05月18日

问一道题：NO.PZ2018070201000092

  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 highest total risk.

B.

Security B has the highest total risk.

C.

Security C has the highest total risk.

解释：

A is correct.

The total variance of security A is 0.3 2 =0.09

The total variance of security B is  0.25 2 =0.0625

The total variance of security C is  0.25 2 =0.0625

The total variance of A >The total variance of B =The total variance of C.

Security A has the highest total risk.

老师，这题为什么不是用correlation*标准差A / 标准差Market？

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丹丹_品职答疑助手 · 2020年05月19日

嗨，从没放弃的小努力你好：


同学你好，本题考查total risk，要用variance，你说的是衡量系统风险，请知悉。


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加油吧，让我们一起遇见更好的自己！


18816562889 · 2022年08月23日

用covariance也不行吗

Kiko_品职助教 · 2022年08月23日

嗨，从没放弃的小努力你好：


covariance是衡量两个资产之间的相关性得。衡量单个资产得总风险是要用variance得。

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努力的时光都是限量版，加油！

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