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pseudonym · 2023年07月11日

为什么不是B mutually exclusive呢?

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NO.PZ202212280100001102

问题如下:

Raye believes the previous adviser’s asset class specifications for equity and derivatives are inappropriate given that, for purposes of asset allocation, asset classes should be:

选项:

A.

diversifying.

B.

mutually exclusive.

C.

relatively homogeneous.

解释:

A is correct. For risk control purposes, an asset class should be diversifying and should not have extremely high expected correlations with other classes. Because the returns to the equity and the derivatives asset classes are noted as being highly correlated, inclusion of both asset classes will result in duplication of risk exposures. Including both asset classes is not diversifying to the asset allocation.

如题,为什么不是B mutually exclusive呢?

1 个答案
已采纳答案

lynn_品职助教 · 2023年07月12日

嗨,从没放弃的小努力你好:


如题,为什么不是B mutually exclusive呢?


这道题问的是equity和derivatives这两个asset class的分类存在什么问题。


B是易错点哈。


我们对比一下这两个概念,Mutually exclusive是说资产大类之间应该是互斥的。如果资产大类之间有重合,那么会降低资产配置的有效性。例如,把资产大类分为美国股票和全球股票,这种分类就不是互斥的,因为美国股票是包含在全球股票范围内的。关键词是overlap。


Diversifying 是说资产大类之间要分散化,或者说相关性越低越好。一般来说,如果两者的相关系数超过0.95,那么这两个资产类别的分散化效果不好。关键词是highly correlated。


Derivative中提到的大盘国外股是衍生品的标的物,而非投资产品本身,是没有投资美国股票的哈,所以没有违反mutually exclusive。

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