The part of an individual security’s risk that arises because of the positive covariance of that security’s returns with overall market returns is called its systematic risk. Synonyms for undiversifiable risk are systematic risk, beta risk. A standardized measure of systematic risk is beta: ...
解析 A A is correct. Security market indexes are used as proxies for measuring market or systematic risk, not as measures of systemic risk.[释义] 证券市场指数可以作为替代衡量市场或系统性风险的指标,而不是直接用来衡量系统性风险。反馈 收藏 ...
相关知识点: 试题来源: 解析 A The Treynor ratio measures the return premium of a portfolio versus the risk-free asset relative to theportfolio's beta, which is a measure of systematic risk.CFA Level I"Portfolio Risk and Return: Part II," Vijay SingalSection 4.3.2 反馈 收藏 ...
A measure of risk premium is derived from the comparison of spot and option prices across the US equity and eurodollar markets. Risk premia in both markets co-move with volatility risk. Option prices, however, seem to underreact to chang... N Tarashev,K Tsatsaronis - 《Bis Quarterly Rev...
The Treynor measure is correctly defined as a measure of a fund’s: A. return earned compared to its systematic risk. B. return earned compared to its unsystematic risk. C. excess earned compared to its systematic risk. D. excess return earned compared to its total risk. 相关知识点: 试...
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A) is a measure of that portfolio's systematic risk. B) is a weighted average of the standard deviations of the individual securities held in that portfolio. C) measures the amount of diversifiable risk inherent in the portfolio. D) serves as the basis for computing the appropriate risk prem...
We introduce SRISK to measure the systemic risk contribution of a financial firm. SRISK measures the capital shortfall of a firm conditional on a severe market decline, and is a function of its size, leverage and risk. We use the measure to study top financial institutions in the recent finan...
Lee, C.,F. Jen(1978).Effects of measurement errors on systematic risk and performance measure of a portfolio. Journal of Financial and Quantitative Analysis ,13,299-312.Effects of Measurement Errors on Systematic Risk and Performance Measure of a Portfolio," Journal of Financial and Quantitative ...
Beta is a key financial metric used in investment analysis, particularly in the context of the Capital Asset Pricing Model (CAPM). It quantifies the systematic risk or volatility of an investment compared to the overall market. Question: What does b...