老师好,本题的A选项,视频讲解里说,前半段话是正确的,这个说反了吧?应该是前半段话是错误的吧?因为题目中说的是:error terms are uncorrelated with each other. 但是serial correlation 的定义是:error terms are correlated with one another.所以应该A里面serial correlation may be present 是错误的吧?谢谢老师。
A security’s systematic risk is proportional to:
A
the covariance of its return with the return on the market portfolio.
B
the standard deviation of its return.
C
the variance of its return.
D
its diversifiable risk.
这题的公式,课程里没有讲解,能讲解下吗