李羊羊羊羊 · 2023年10月25日
NO.PZ2015121801000094
问题如下：
An analyst gathers the following information:
Which security has the least amount of market risk?
选项：
A.
Security 1.
B.
Security 2.
C.
Security 3.
解释：
B is correct.
Security 2 has the lowest beta value; compared to Security 1 and 3 with beta values of 1.00 and 1.07, respectively.
market risk 不是total risk吗
NO.PZ2015121801000094问题如下 analyst gathers the following information:Whisecurity hthe least amount of market risk?A.Security 1.B.Security 2.C.Security 3.is correct.Security 2 hthe lowest beta value; 0.93 = ρ 2 m σ 2 σ m = ( 0.70 ) ( 20 % ) 15 % compareto Security 1 an3 with beta values of 1.00 an1.07, respectively.还是不太懂。能不能麻烦老师完整的讲一遍呢。谢谢
NO.PZ2015121801000094问题如下analyst gathers the following information:Whisecurity hthe least amount of market risk?A.Security 1.B.Security 2.C.Security 3.is correct.Security 2 hthe lowest beta value; 0.93 = ρ 2 m σ 2 σ m = ( 0.70 ) ( 20 % ) 15 % compareto Security 1 an3 with beta values of 1.00 an1.07, respectively.这样最后算出来的收益率R也是最高的
NO.PZ2015121801000094问题如下 analyst gathers the following information:Whisecurity hthe least amount of market risk?A.Security 1.B.Security 2.C.Security 3.is correct.Security 2 hthe lowest beta value; 0.93 = ρ 2 m σ 2 σ m = ( 0.70 ) ( 20 % ) 15 % compareto Security 1 an3 with beta values of 1.00 an1.07, respectively.这种计算用的是那个公式
NO.PZ2015121801000094 问题如下 analyst gathers the following information:Whisecurity hthe least amount of market risk? A.Security 1. B.Security 2. C.Security 3. is correct.Security 2 hthe lowest beta value; 0.93 = ρ 2 m σ 2 σ m = ( 0.70 ) ( 20 % ) 15 % compareto Security 1 an3 with beta values of 1.00 an1.07, respectively. 解析中 0.93=�2��2��=(0.70)(20%)15% 这个公式beta的公式不应该是cov（1，2）/0.15的平方吗？为什么解析中会这样算的
