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momo · 2023年08月15日

market

  1. CFA I
  2. Portfolio

NO.PZ2018070201000094

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.

market risk为什么用B算

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4 个答案

Kiko_品职助教 · 2023年08月17日

嗨，从没放弃的小努力你好：


这里的市场风险就是相当于系统性风险。而不是市场组合的市场风险。还是要区分一下子。

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加油吧，让我们一起遇见更好的自己！

Kiko_品职助教 · 2023年08月17日

嗨，从没放弃的小努力你好：


市场组合的市场风险β=1，并不代表所有组合的β都是1啊。可以看一下我截图的beta的定义，好好理解一下，他是相对于市场组合的敏感程度，比如一个组合的β=1.3，说明大盘涨1%，这个组合涨1.3%。

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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！

momo · 2023年08月16日

Bm=1，市场风险不都是一样的吗

Kiko_品职助教 · 2023年08月16日

嗨，从没放弃的小努力你好：


因为β就是衡量市场风险的。

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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！

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