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扑扑扑 · 2020年09月28日

问一道题:NO.PZ2018070201000088

问题如下:

Which of the following statements is correct?

选项:

A.

The beta of asset is equal to the sum of an asset’s systematic variance and its nonsystematic variance of returns.

B.

The total risk of asset is equal to the sum of an asset’s systematic variance and its nonsystematic variance of returns.

C.

The total variance of asset is equal to the sum of an asset’s systematic variance and its nonsystematic variance of returns.

解释:

C is correct.

The asset's total variance is equal to the sum of systematic variance and nonsystematic variance. References to total risk as the sum of systematic risk and nonsystematic risk refer to variance, not to risk.

为什么B不对呢?风险不就是用方差衡量的吗

1 个答案

星星_品职助教 · 2020年09月28日

同学你好,

关于这道题,最准确的描述是:

Total variance = Systematic variance + Nonsystematic variance

而正是因为方差往往用来衡量风险,所以有时候这个关系也可以写成:Total risk =Systematic risk + Nonsystematic risk,这种描述我们也可以认为是正确的。

但B选项前面是risk,后面是variance,这种描述就不是很准确了。