NO.PZ2022122601000070
问题如下：
Cortez reviews RiteVal data (Exhibit 2) and preferred two-factor model with global equity and global bonds as the two common drivers of return for all other asset classes.
Using the multifactor model preferred by RiteVal and Exhibit 2, the standard deviation of U.S. real estate is closest to:
选项：
A.23.1% B.21.0%
C.24.5%解释：
Correct Answer: A
F1 = Factor 1, Global Equity
F2 = Factor 2, Global Bonds
Var (F1) = 0.0250.5 = 0.1581
Var (F2) = 0.00140.5 = 0.0374
Cov(F1,F2) = σ1σ2ρ1,2 = 0.1518 × 0.374 × 0.33 = 0.002
Real estate factor sensitivities are bre,1 0.6 for sensitivity to global equity and bre,2 0.15 for global bonds. Residual risk variance (given) is Var(εre) = 0.044.
Square root of variance is the standard deviation = 0.231, or 23.1%.
中文解析：
F1 = Factor 1, Global Equity
F2 =因子2，全球债券
Var (F1) = 0.0250.5 = 0.1581
Var (F2) = 0.00140.5 = 0.0374
浸(F1、F2) =σ1,σ2ρ1,2 = 0.1518×0.374×0.33 = 0.002
房地产因素敏感性为bre，全球股票敏感性为1.06，全球债券敏感性为2.0.15。剩余风险方差(给定)Var(εre) = 0.044。
方差的平方根是标准差= 0.231，即23.1%。
如题
