姐同學(xué)
2018-04-01 10:44老師,這是二級習(xí)題集的327題,請問c選項為什么是對的?
所屬:FRM Part II 視頻位置 相關(guān)試題
來源: 視頻位置 相關(guān)試題
1個回答
Crystal助教
2018-04-02 14:41
該回答已被題主采納
同學(xué)你好,關(guān)于C選項在原版書的說法是這樣的,The beta anomaly is not that stocks with high betas have low returns—they don’t. Stocks with high betas have high volatilities. This causes the Sharpe ratios of high beta stocks to be lower than the Sharpe ratios of low-beta stocks.
