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pepperhyp · 2023年08月16日

关于这道题答案的公式

  1. CFA III
  2. Equity

NO.PZ2023010903000072

问题如下：

Based on Exhibit 2, the portion of total portfolio risk that is explained by the market factor in Fund 1’s existing portfolio is closest to:


选项：

A.

3%

B.

81%

C.

87%

解释：

The portion of total portfolio risk explained by the market factor is calculated in two steps. The first step is to calculate the contribution of the market factor to total portfolio variance as follows:

The second step is to divide the resulting variance attributed to the market factor by the portfolio variance of returns, which is the square of the standard deviation of returns:

Portion of total portfolio risk explained by the market factor = 0.001223/(0.0374)2

Portion of total portfolio risk explained by the market factor = 87%

这道题是按照李老师上课教的方法来计算的

但是公式，李老师上课讲的会有乘以2，答案是没有的，这个是不是答案表述有问题呀？

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1 个答案

笛子_品职助教 · 2023年08月17日

嗨，努力学习的PZer你好：


李老师在这里说，可以用九宫格的方法来计算和记忆。

这道题和教材例题的解法，是一模一样的。


例题的股票权重，就是这道习题的因子系数。



以上例题红框里的公式，和本题公式：


例题与习题，使用的是同样的计算方法。


因此，本题的答案并没有问题哦~


同学说李老师讲乘以2，可以发一下具体视频的位置，老师看看视频的上下文语境，这里需要结合语境去理解。




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杨超 · 2023年08月30日

我也有同样疑问，主要是CME 通关课补充题目的1.4题。那里乘以2 了。 临近考试请老师解答，感谢！

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