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梦梦 · 2025年04月07日

为什么这题所有的资产,VaRp/Valuep都是相同的”

NO.PZ2019042401000070

问题如下:

A money manager who has recently received a small amount of new capital is planning to invest this capital into an existing fund, which is benchmarked to an index. Rather than investing in a new asset to be included in the fund, the manager is planning to increase the holding of one of the fund’s four assets. Information about these assets, and their performances during the most recent evaluation period, are given below:


The portfolio manager wants to select the asset that has the lowest marginal VaR as long as its Jensen’s alpha is greater than or equal to the market risk premium. Assuming the risk-free interest rate is 3% and the market return is 8%, which asset should the portfolio manager select?

选项:

A.

Asset BDE

B.

Asset JKL

C.

Asset STU

D.

Asset MNO

解释:


老师好,为什么这道题“对于所有的资产,VaRp/Valuep都是相同的”

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