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陈Shelly · 2020年07月20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.

看了下其他同学的问题还是不明白。

B Risk attribution, unlike return attribution, attempts to quantify the risk consequences of the investment decisions. 这句话怎么解释

C 为什么错误。


2 个答案

吴昊_品职助教 · 2020年07月20日

不用谢~

吴昊_品职助教 · 2020年07月20日

同学你好:

看了你给我的回复,我又回过来看了一下这道题,发现我之前回答的有误,现在我重新回答一下,实在是不好意思。

这道题有点像是文字游戏,B选项quantifies the risk consequences of the investment decisions. 这句话说的是risk attribution的特性,因为只是量化了投资决策中的风险因素。题目让我们选择的是risk attribution的特性,因此选项B正确。再来说一下选项C,量化了基金经理的投资决策,因此是既量化了return,也量化了risk,而risk attribution并没有量化return,所以选项C不正确。

如果之前给你带来了困扰,十分抱歉。

陈Shelly · 2020年07月20日

谢谢~~

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