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sarasara · 2022年03月19日

这道题看起来有点晕

  1. CFA I
  2. Portfolio

NO.PZ2018070201000092

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.

total risk，只用考虑sigma嘛？为什么不考虑 rf和beta 

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2 个答案

Kiko_品职助教 · 2022年08月23日

嗨，努力学习的PZer你好：


你说的是covariance协方差。variance是方差，区分好概念哈。

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Kiko_品职助教 · 2022年03月21日

嗨，爱思考的PZer你好：


是的。 beta 代表的是系统性风险，而variance（有的时候用standard deviation）代表的是总风险。

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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！

18816562889 · 2022年08月23日

variance不是等于correlation*SD1和SD2吗，那这三者的乘积的和应该是第三个security最大哎~

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