标题: CFA二级-求教一个关于Adjusted Beta条件的问题 [打印本页]

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作者: LPoulin133    时间: 2014-6-28 16:58     标题: CFA二级-求教一个关于Adjusted Beta条件的问题

在看二级的notes, 没有按顺序所以不知是否因为前面铺垫的知识点没看到导致了如下问题，先在此请教一下吧：

[size=14.399999618530273px]算Adjusted Beta的时候，公式是forecast beta(1,t) = a0+a1*beta(i,t-1), where a0+a1 is set equal to 1; 又因为the mean reverting value for any time series variable equals the intercept divided by 1 minus the slope, which is a0/(1-a1) here, so the mean reverting value for adjusted beta = 1

[size=14.399999618530273px]不明白为什么 a0+a1 is set equal to 1？如果reverting value for all adjusted beta =1, 那不是所有的risky asset最后的风险都会跟市场趋同了？这make sense吗？

[size=14.399999618530273px]另外，希望有高人能简要解释一下为什么the mean reverting value for any time series variable equals the intercept divided by 1 minus the slope.


[size=14.399999618530273px]非常感谢！

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作者: Windjammer    时间: 2014-6-28 16:58

X(t) = b0 + b1*X(t-1)   -----(1)
X(t) = b0 + b1*X(t) ----------(2)

1) to 2) :     t趋向于无穷大的时候，X(t-1) = X(t)
2): X(t) = b0/(1-b1)   X(t) 叫 mean reverting level

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