开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

CFA一定过！ · 2023年10月29日

公式

  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.

根据CAPM公式，securities A和B的expected Return一样，为什么Beita会不一样

添加评论
1 个答案

Kiko_品职助教 · 2023年10月30日

嗨，努力学习的PZer你好：


这道题没有说A和B的expected return是根据CAPM公式计算出来的啊。如果目前的收益率跟按照CAPM计算出来的合理收益率水平一样的话，那么他们的beta就是一样的。

做题的时候要抓住思考角度，这道题选项里面问的都是market risk市场风险的，也就是β，表格里面又给了ρ和δ，这很明显是考察beta的计算的。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

  • 1

    回答

  • 0

    关注

  • 295

    浏览
相关问题

NO.PZ2018070201000094 问题如下 Tim, analyst of investment company forecasts the return anviation of below securities. Baseon these information, whistatement is most correct: A.Security A hthe least amount of market risk. B.Security B hthe least amount of market risk. C.Security C hthe least amount of market risk. B is correct.The beta value of security A is=ρAmδAδm=1.4The beta value of security B is =ρBmδBδm=1.33The beta value of security C is=ρCmδCδm=1.5Security B hthe lowest beta value, therefore, it hthe lowest amount of market risk. Market Risk 难道不应该指的是系统性风险吗？ 比如加息等。我看了看别的同学问的问题，我觉得助教回答不是很靠谱，“这道题的市场风险就是非系统性风险”。 是教材里面明确这么写的吗（Market Risk = B)？如果是的话那我会改变我的立场，如果教材里没有明确写，我会觉得加息等行为是市场风险。

2024-01-20 03:43 1 · 回答

NO.PZ2018070201000094 问题如下 Tim, analyst of investment company forecasts the return anviation of below securities. Baseon these information, whistatement is most correct: A.Security A hthe least amount of market risk. B.Security B hthe least amount of market risk. C.Security C hthe least amount of market risk. B is correct.The beta value of security A is=ρAmδAδm=1.4The beta value of security B is =ρBmδBδm=1.33The beta value of security C is=ρCmδCδm=1.5Security B hthe lowest beta value, therefore, it hthe lowest amount of market risk. 请问市场风险不是总风险吗？包含系统性风险和非系统性风险

2023-08-27 14:57 1 · 回答

NO.PZ2018070201000094问题如下 Tim, analyst of investment company forecasts the return anviation of below securities. Baseon these information, whistatement is most correct: A.Security A hthe least amount of market risk.B.Security B hthe least amount of market risk.C.Security C hthe least amount of market risk.B is correct.The beta value of security A is=ρAmδAδm=1.4The beta value of security B is =ρBmδBδm=1.33The beta value of security C is=ρCmδCδm=1.5Security B hthe lowest beta value, therefore, it hthe lowest amount of market risk.market risk为什么用B算

2023-08-15 20:07 4 · 回答

NO.PZ2018070201000094 问题如下 Tim, analyst of investment company forecasts the return anviation of below securities. Baseon these information, whistatement is most correct: A.Security A hthe least amount of market risk. B.Security B hthe least amount of market risk. C.Security C hthe least amount of market risk. B is correct.The beta value of security A is=ρAmδAδm=1.4The beta value of security B is =ρBmδBδm=1.33The beta value of security C is=ρCmδCδm=1.5Security B hthe lowest beta value, therefore, it hthe lowest amount of market risk. for A ,β=0.7*0.3/0.15=1.4for B ,β=0.8*0.25/0.15=1.333for C ,β=0.9*0.25/0.15=1.5請問0.15怎麽算出來的？

2023-01-02 23:19 1 · 回答