NO.PZ2023040601000016
问题如下：
Yusuf provides the group with the information in Exhibit 2 and states, “As I previously stated, multifactor models can also be used to identify a portfolio manager’s risk exposures. Please use the information in Exhibit 2 to identify the portfolio with the highest active factor risk related to style factors, relative to active risk.”
In response to Yusuf, based on the information in Exhibit 2, the portfolio with the highest active factor risk exposure to the style factor is:
选项：
A.Portfolio X.
Portfolio Y.
Portfolio Z.
解释：
Portfolio Z has the highest active factor risk exposures to the style factor. Portfolio Z active style risk squared ÷ Active risk squared = 10 ÷ 16 = 62.5%.
Portfolio X active style risk squared ÷ Active risk squared = 28 ÷ 64 =43.75%.
Portfolio Y active style risk squared ÷ Active risk squared = 14.4 ÷ 36 = 40%.
- 题目问active factor risk exposeure to style factor , 所以我用40/28; 21.6/14.4; 14/10 虽然我觉得肯定不对，但是肯定也想不到是style factor/ active risk squared....;
- 另外，想问 total factor risk 和active factor risk什么关系，我看到题目里是active factor = total factor risk;
- active risk squared =active factor risk + active specific risk 也可以是tracking error squared =active factor risk + active specific risk 对吗
