i*****r
发帖数: 1302 | 1 比如我的portfolio有三个资产30%A, 30%B, 40%C,对benchmark的beta分别是2,3,0.
那我组合的beta是要ABC加权组合后重现算beta,还是30%*2+30*3=1.5就可以? 答案肯定
是不一样的 | J*****n
发帖数: 4859 | | b****a
发帖数: 84 | 3
Portfolio beta
Used in the context of general equities. The beta of a portfolio is the
weighted sum of the individual asset betas, According to the proportions of
the investments in the portfolio. E.g., if 50% of the money is in stock A
with a beta of 2.00, and 50% of the money is in stock B with a beta of 1.00,
the portfolio beta is 1.50. Portfolio beta describes relative volatilityof
an individual securities portfolio, taken as a whole, as measured by the
individual stock betas of the securit
【在 i*****r 的大作中提到】
: 比如我的portfolio有三个资产30%A, 30%B, 40%C,对benchmark的beta分别是2,3,0.
: 那我组合的beta是要ABC加权组合后重现算beta,还是30%*2+30*3=1.5就可以? 答案肯定
: 是不一样的
| b*********r
发帖数: 16 | |
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