劉同學(xué)
2024-08-20 19:29不懂這三個(gè)選項(xiàng)
所屬：CFA Level I > Portfolio Management 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
2個(gè)回答
Bingo助教
2024-08-22 16:15
該回答已被題主采納
同學(xué)你好，
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追答
單因素模型（Single-Index Model）的公式用于描述個(gè)別證券的收益與市場(chǎng)收益之間的關(guān)系。
Ri=α i+β iRm+? i -
追答
A錯(cuò)了，應(yīng)該是historical relationships
A. Incorrect because factor weights in return-generating models are usually derived from historical relationships between these factors and the returns. For example, in case of the market model, the intercept, αi, and slope coefficient, βi, can be estimated by using historical security and market returns. These parameter estimates are then used to predict company-specific returns that a security may earn in a future period. -
追答
B錯(cuò)了，因?yàn)閙arket model只用market return作為單一因子，其余都不用
B. Incorrect because the most common implementation of a single-index model is the market model, in which the market return is the single factor or single index. Thus, the market model does not use any factor other than the market return. -
追答
C正確
C. Correct because with the introduction of return-generating models, particularly the single-index model, we are able to decompose total variance into systematic and nonsystematic variances. Topic: Portfolio Risk and Return: Part II Requirement: explain return generating models (including the market model) and their uses
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Evian, CFA助教
2024-08-22 16:26該回答已被題主采納
ヾ(?°?°?)??你好同學(xué)，恭喜你完成了CFA機(jī)考！
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