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庄园monar · 2022年05月09日

这两题有什么区别？

  1. CFA I
  2. Portfolio

NO.PZ2015121801000067

问题如下：

An analyst has made the following return projections for each of three possible outcomes with an equal likelihood of occurrence:

If the analyst constructs two-asset portfolios that are equally-weighted, which pair of assets has the lowest expected standard deviation?

选项：

A.

Asset 1 and Asset 2.

B.

Asset 1 and Asset 3.

C.

Asset 2 and Asset 3.

解释：

C  is correct.

An equally weighted portfolio of Asset 2 and Asset 3 will have the lowest portfolio standard deviation, because for each outcome, the portfolio has the same expected return (they are perfectly negatively correlated).


这道题选C，而截图题目选A

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1 个答案

Kiko_品职助教 · 2022年05月09日

嗨，努力学习的PZer你好：


这两个问题的问法是相反的。

这道题问的是风险最低，而截图这道题问的是：哪两个asset组合对风险降低作用最小，其实就是问风险最高的。

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