横轴既是b又是VaR？-有问必答-品职教育专注CFA ESG FRM CPA 考研等财经培训课程

NO.PZ2019042401000058 问题如下 A portfolio manager is revising equity portfolio with the goof attaining the optimportfolio on the portfolio’s efficient frontier. The manager believes this gocachievereplacing a stoin the portfolio with a new stothis not part of the existing portfolio ankeeping the portfolio value constant. The manager consirs the following alternative actions:• Action 1: Sell the stowith the highest marginVanpurchase equivalent value of a new stothwoulhave the lowest marginVin the portfolio.• Action 2: Sell a particulstoanpurchase equivalent value of a new stock, whiwoulcause the ratio of expecteexcess returns to portfolio beta for all stocks in the portfolio to equal.• Action 3: Sell a particulstoanpurchase equivalent value of a new stock, whiwoulcause the portfolio betof all stocks in the portfolio to equal.• Action 4: Sell a particulstoanpurchase equivalent value of a new stock, whiwoulsignificantly crease the portfolio stanrviation without changing the average excess portfolio return.Whiof the actions above woulcreate optimportfolio? A.Action 1 B.Action 3 C.Action 2 Action 4 C is correct. The optimportfolio is on the efficient frontier. It is the one thmaximizes the slope of the tangent from the origin. this point, the ratio of expecteexcess returns to portfolio beta (or marginVaR) for all stocks in the portfolio is equal.A is incorrect. This action woulonly minimize the risk of the portfolio. B is incorrect. This action woulonly minimize the risk of the portfolio.is incorrect. This action esn’t necessarily create optimportfolio.Risk Management anInvestment ManagementExplain the risk-minimizing position anthe risk anreturn-optimizing position of a portfolio.Philippe Jorion, Value-at-Risk: The New Benchmark for Managing FinanciRisk, 3rEtion (New York, NY: McGraw-Hill, 2007). Chapter 7. Portfolio Risk: AnalyticMetho 如题

2024-10-28 13:34 1 · 回答

NO.PZ2019042401000058 问题如下 A portfolio manager is revising equity portfolio with the goof attaining the optimportfolio on the portfolio’s efficient frontier. The manager believes this gocachievereplacing a stoin the portfolio with a new stothis not part of the existing portfolio ankeeping the portfolio value constant. The manager consirs the following alternative actions:• Action 1: Sell the stowith the highest marginVanpurchase equivalent value of a new stothwoulhave the lowest marginVin the portfolio.• Action 2: Sell a particulstoanpurchase equivalent value of a new stock, whiwoulcause the ratio of expecteexcess returns to portfolio beta for all stocks in the portfolio to equal.• Action 3: Sell a particulstoanpurchase equivalent value of a new stock, whiwoulcause the portfolio betof all stocks in the portfolio to equal.• Action 4: Sell a particulstoanpurchase equivalent value of a new stock, whiwoulsignificantly crease the portfolio stanrviation without changing the average excess portfolio return.Whiof the actions above woulcreate optimportfolio? A.Action 1 B.Action 3 C.Action 2 Action 4 C is correct. The optimportfolio is on the efficient frontier. It is the one thmaximizes the slope of the tangent from the origin. this point, the ratio of expecteexcess returns to portfolio beta (or marginVaR) for all stocks in the portfolio is equal.A is incorrect. This action woulonly minimize the risk of the portfolio. B is incorrect. This action woulonly minimize the risk of the portfolio.is incorrect. This action esn’t necessarily create optimportfolio.Risk Management anInvestment ManagementExplain the risk-minimizing position anthe risk anreturn-optimizing position of a portfolio.Philippe Jorion, Value-at-Risk: The New Benchmark for Managing FinanciRisk, 3rEtion (New York, NY: McGraw-Hill, 2007). Chapter 7. Portfolio Risk: AnalyticMetho 求这道题的解题思路。。

2024-08-18 04:14 1 · 回答

NO.PZ2019042401000058问题如下 A portfolio manager is revising equity portfolio with the goof attaining the optimportfolio on the portfolio’s efficient frontier. The manager believes this gocachievereplacing a stoin the portfolio with a new stothis not part of the existing portfolio ankeeping the portfolio value constant. The manager consirs the following alternative actions:• Action 1: Sell the stowith the highest marginVanpurchase equivalent value of a new stothwoulhave the lowest marginVin the portfolio.• Action 2: Sell a particulstoanpurchase equivalent value of a new stock, whiwoulcause the ratio of expecteexcess returns to portfolio beta for all stocks in the portfolio to equal.• Action 3: Sell a particulstoanpurchase equivalent value of a new stock, whiwoulcause the portfolio betof all stocks in the portfolio to equal.• Action 4: Sell a particulstoanpurchase equivalent value of a new stock, whiwoulsignificantly crease the portfolio stanrviation without changing the average excess portfolio return.Whiof the actions above woulcreate optimportfolio? A.Action 1B.Action 3C.Action 2Action 4 C is correct. The optimportfolio is on the efficient frontier. It is the one thmaximizes the slope of the tangent from the origin. this point, the ratio of expecteexcess returns to portfolio beta (or marginVaR) for all stocks in the portfolio is equal.A is incorrect. This action woulonly minimize the risk of the portfolio. B is incorrect. This action woulonly minimize the risk of the portfolio.is incorrect. This action esn’t necessarily create optimportfolio.Risk Management anInvestment ManagementExplain the risk-minimizing position anthe risk anreturn-optimizing position of a portfolio.Philippe Jorion, Value-at-Risk: The New Benchmark for Managing FinanciRisk, 3rEtion (New York, NY: McGraw-Hill, 2007). Chapter 7. Portfolio Risk: AnalyticMetho 为什么四不对呢？总收益率不变的情况下，总风险越低，不是越优吗？

2024-08-12 00:11 1 · 回答

NO.PZ2019042401000058问题如下 A portfolio manager is revising equity portfolio with the goof attaining the optimportfolio on the portfolio’s efficient frontier. The manager believes this gocachievereplacing a stoin the portfolio with a new stothis not part of the existing portfolio ankeeping the portfolio value constant. The manager consirs the following alternative actions:• Action 1: Sell the stowith the highest marginVanpurchase equivalent value of a new stothwoulhave the lowest marginVin the portfolio.• Action 2: Sell a particulstoanpurchase equivalent value of a new stock, whiwoulcause the ratio of expecteexcess returns to portfolio beta for all stocks in the portfolio to equal.• Action 3: Sell a particulstoanpurchase equivalent value of a new stock, whiwoulcause the portfolio betof all stocks in the portfolio to equal.• Action 4: Sell a particulstoanpurchase equivalent value of a new stock, whiwoulsignificantly crease the portfolio stanrviation without changing the average excess portfolio return.Whiof the actions above woulcreate optimportfolio? A.Action 1B.Action 3C.Action 2Action 4 C is correct. The optimportfolio is on the efficient frontier. It is the one thmaximizes the slope of the tangent from the origin. this point, the ratio of expecteexcess returns to portfolio beta (or marginVaR) for all stocks in the portfolio is equal.A is incorrect. This action woulonly minimize the risk of the portfolio. B is incorrect. This action woulonly minimize the risk of the portfolio.is incorrect. This action esn’t necessarily create optimportfolio.Risk Management anInvestment ManagementExplain the risk-minimizing position anthe risk anreturn-optimizing position of a portfolio.Philippe Jorion, Value-at-Risk: The New Benchmark for Managing FinanciRisk, 3rEtion (New York, NY: McGraw-Hill, 2007). Chapter 7. Portfolio Risk: AnalyticMetho c为什么对，哪里隐含了组合标准差不变的吗

2024-03-23 16:41 2 · 回答

横轴既是b又是VaR？

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