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Carina9999 · 2023年08月23日

这题可以解释一下吗？没看懂

  1. CFA III
  2. Capital Market Expectations

NO.PZ2022122601000065

问题如下：

O'Reilly presents the factor covariance matrix for global equity and global bonds shown in Exhibit 1 and market factor sensitivities and residual risk shown in Exhibit 2.

Given the data in Exhibits 1 and 2, the covariance between Market 1 and Market 2 is closest to:

选项：

A.0.0027 B.0.0243 C.0.0225

解释：

Correct Answer: B

The covariance between Market 1 and Market 2 is calculated as follows:

M12 = (1.20 × 0.90 × 0.0225) + (0 × 0 × 0.0025) + [(1.20 × 0) + (0 × 0.90)] × 0.0022 = 0.0243.

中文解析：

市场1和市场2的协方差计算如下:

M12 =(1.20×0.90×0.0225)+ 0(0××0.0025)+[(1.20×0)+(0×0.90)]×0.0022 = 0.0243。

这题可以解释一下吗？没看懂

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1 个答案

源_品职助教 · 2023年08月24日

嗨，努力学习的PZer你好：



本题就是直接套用公式。

本题也是讲义的例题在P204，有视频讲解

公式及推导在P200,

同学可以先参考下这两页的视频，再针对具体是哪一步看不懂来提问。

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加油吧，让我们一起遇见更好的自己！

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NO.PZ2022122601000065问题如下 O'Reilly presents the factor covarianmatrix for globequity anlobbon shown in Exhibit 1 anmarket factor sensitivities anresialrisk shown in Exhibit 2. Given the ta in Exhibits1 an2, the covarianbetween Market 1 anMarket 2 is closest to: A.0.0027B.0.0243C.0.0225 CorreAnswer: BThe covariancebetween Market 1 anMarket 2 is calculatefollows:M12 =(1.20 × 0.90 × 0.0225) + (0 × 0 × 0.0025) + [(1.20 × 0) + (0 × 0.90)] × 0.0022= 0.0243. 中文解析市场1和市场2的协方差计算如下:M12 =(1.20×0.90×0.0225)+ 0(0××0.0025)+[(1.20×0)+(0×0.90)]×0.0022 = 0.0243。 老师，我理解的是market 1和market 2的残差不相关，所以不考虑残差的方差。如果是只有一个market，比如单看market 1,那残差项的方差就要算上，对吗？

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