2008 CFA Level 1 － Sample 样题(3)－Q7

face, statements, following, about, style

7、Which of the following statements about portfolio risk and diversification is least accurate?

A. Not all risk is diversifiable.

B. Unsystematic risk can be substantially reduced by diversification.

C. Systematic risk can be eliminated by holding securities in a well-diversified international stock portfolio.

D. Diversification results from combining securities that have less than perfect positive correlation between their returns to reduce portfolio risk.

答案如下：

7、Correct answer is C
"An Introduction to Asset Pricing Models," Frank K. Reilly and Keith C. Brown
2008 Modular Level I, Vol. 4, pp. 259-261
Study Session 12-51-c
define systematic and unsystematic risk and explain why an investor should not expect to receive additional return for assuming unsystematic risk
Systematic (market-related) risk cannot be eliminated by diversification. Unsystematic (unique, company-specific) risk can be reduced by diversification. Diversification benefits will occur any time security returns have less than perfect positive correlations.

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答案和详解如下：

7、Correct answer is C

"An Introduction to Asset Pricing Models," Frank K. Reilly and Keith C. Brown

2008 Modular Level I, Vol. 4, pp. 259-261

Study Session 12-51-c

define systematic and unsystematic risk and explain why an investor should not expect to receive additional return for assuming unsystematic risk

Systematic (market-related) risk cannot be eliminated by diversification. Unsystematic (unique, company-specific) risk can be reduced by diversification. Diversification benefits will occur any time security returns have less than perfect positive correlations.