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Victutu · 2020年10月11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.

这题用的哪个公式？

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1 个答案

丹丹_品职答疑助手 · 2020年10月11日

嗨，努力学习的PZer你好：


同学你好，公式如下。相关公式也可参见讲义51页相关知识点。


-------------------------------
加油吧，让我们一起遇见更好的自己！


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