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

chyje2007 · 2018年08月30日

问一道题:NO.PZ2018070201000063 [ CFA I ]

问题如下图:

选项:

A.

B.

C.

解释:

这道题不明白考的是哪个点?用答案解释里的多资产计算公式我觉得也和这道题说的单个资产对组合影响程度无关呢?

1 个答案

Shimin_CPA税法主讲、CFA教研 · 2018年08月30日

是不是没有读懂选项的意思?就是在考这个公式呀~

你就看最后一个等号后面,σ的平方代表了每个资产的方差,N增加,所以1/N减小,所以加号的左边,也就是每个资产的方差占总组合的分量减小。同样的,加号右边,(N-1)/N可以写成(1-1/N),N增加,1/N减小,所以(1-1/N)增加,也就是说加号右边的COV占总组合的分量会增加。

 

  • 1

    回答
  • 2

    关注
  • 481

    浏览
相关问题

NO.PZ2018070201000063问题如下Eunice, analyst from investment company, recently ma the following statements:Statement 1: With the increase in the number of investment assets in the equweight portfolio, the contribution of the varianof eainviasset to the varianof portfolio increase;Statement 2: With the increase in the number of investment assets in the equweight portfolio, the contribution of the varianof eainviasset to the varianof portfolio crease;Statement 3: With the increase in the number of investment assets in the equweight portfolio, the contribution of the varianof eainviasset to the varianof portfolio remains the same.Whistatement is most correct?A.Statement 1.B.Statement 2.C.Statement 3.B is correct.the number of assets in the same weighting portfolio increases, the contribution of eainviasset's contribution to portfolio volatility creases. the number of assets in equally weighteportfolio increases, the contribution of co-movement measures between assets increases. The following equation for the varianof equally weighteportfolio illustrates these points:σρ2=σ¯2N+N-1NCOV¯=σ¯2N+N-1Nρσ¯2N越大,相关系数越小,分散化越好

2024-02-26 11:09 1 · 回答

NO.PZ2018070201000063问题如下 Eunice, analyst from investment company, recently ma the following statements:Statement 1: With the increase in the number of investment assets in the equweight portfolio, the contribution of the varianof eainviasset to the varianof portfolio increase;Statement 2: With the increase in the number of investment assets in the equweight portfolio, the contribution of the varianof eainviasset to the varianof portfolio crease;Statement 3: With the increase in the number of investment assets in the equweight portfolio, the contribution of the varianof eainviasset to the varianof portfolio remains the same.Whistatement is most correct?A.Statement 1.B.Statement 2.C.Statement 3.B is correct.the number of assets in the same weighting portfolio increases, the contribution of eainviasset's contribution to portfolio volatility creases. the number of assets in equally weighteportfolio increases, the contribution of co-movement measures between assets increases. The following equation for the varianof equally weighteportfolio illustrates these points:σρ2=σ¯2N+N-1NCOV¯=σ¯2N+N-1Nρσ¯2根据公式,随着数量的增加也就是可以理解成n增大,用极限的思想看,当N趋近于无限大时,1/N趋近于0,N-1/N趋近于1,也就是整个公式只会受COV的影响,题目给出的条件并不影响COV,为什么不是不变呢,我这个理解有什么问题吗

2023-09-07 11:11 1 · 回答

能下答案意思吗?不太明白和公式关系在哪

2018-10-17 23:24 1 · 回答

    这个里的公式不是假设stanrviation same 吗?和B是否矛盾?这如何理解B

2018-10-12 15:43 1 · 回答