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六姑娘 · 2021年10月15日

a和d选项不懂

  1. FRM II
  2. Risk Management And Investment Management

NO.PZ2016071602000010

问题如下：

Suppose a portfolio consists of four assets. The risk contribution of each asset is as follows: UK large cap, 3.9%；UK small cap, 4.2%; UK bonds, 0.9%; non-UK bonds, 1.1%. Which of the following would not be a possible explanation for the relatively high risk contribution values for UK equities?

选项：

A.

High expected returns on UK equities

B.

High weights on UK equities

C.

High volatilities of UK equities

D.

High correlation of UK equities with all other assets in the portfolio

解释：

A is correct. The risk contribution is proportional to the weight times the beta. The latter involves the correlation between the asset and the portfolio, as well as the volatility of the asset. Higher weight, correlation, and volatility would create higher risk contribution. In contrast, high expected returns would explain a high weight, but not a high risk contribution.

a为什么对，d为什么不对

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2 个答案

李坏_品职助教 · 2022年04月03日

嗨，爱思考的PZer你好：


这里指的就是component var，component var = weight * beta。参考讲义component var这里P62之后的内容：



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努力的时光都是限量版，加油！

李坏_品职助教 · 2021年10月15日

嗨，从没放弃的小努力你好：


题目问的是下列哪一项不是造成的UK股票的风险贡献度比较大的原因？


risk contribution = weight * 股票的beta。A说的是股票收益比较高，这个和risk contribution没啥关系。risk contribution比较高是因为：1. high weight，2. 高度相关性，3. volatility高（标准差高）。所以A项是not be a possible explanation。选A


D说的high correlation是有可能造成UK equity的风险比较高的，所以不选D

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

8527 · 2022年04月03日

老师请问risk contribution = weight * 股票的beta 这个公式在讲义里哪页可以找到

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