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saimeiei · 2020年03月11日

问一道题:NO.PZ2020020202000004

问题如下:

Risk attribution differs from return attribution in that it:

选项:

A.

is not conducted relative to a benchmark.

B.

quantifies the risk consequences of the investment decisions.

C.

quantifies the investment decisions of the investment manager.

解释:

B is correct. Risk attribution, unlike return attribution, attempts to quantify the risk consequences of the investment decisions. A is not correct because risk attribution may be conducted on either an absolute or a relative basis. C is not correct because risk attribution does not capture the return impact of a manager’s investment decisions.

老师你好,没看明白答案对于C的解释,风险归因不同于收益归因,是因为风险可以量化投资决策是风险结果,量化投资决策是指收益归因吗

1 个答案

星星_品职助教 · 2020年03月12日

同学你好,

C选项指的就是 investment decision同时会影响return和risk,但risk attribution没有分析 investment decisions里return的部分,所以C的描述直接就是不对的。

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