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cui1130 · 2022年04月13日

老师能详细讲一下这道题吗？

  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.

老师能详细讲一下这道题吗？

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1 个答案

Kiko_品职助教 · 2022年04月14日

嗨，努力学习的PZer你好：


这道题从选项可以看出来，是要选择ABC三种security的total risk最高的，衡量total risk我们用方差（有时候也用标准差），所以看到表格中standard deviation那项，解析给出的是算他们的方差，也就是直接平方，选择一个最大的即可。

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