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ruby5ltc · 2022年06月07日

请问

  1. CFA I
  2. Portfolio

NO.PZ2015121801000068

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 provides the least amount of risk reduction?

选项：

A.

Asset 1 and Asset 2.

B.

Asset 1 and Asset 3.

C.

Asset 2 and Asset 3.

解释：

A  is correct.

An equally weighted portfolio of Asset 1 and Asset 2 has the highest level of volatility of the three pairs. All three pairs have the same expected return; however, the portfolio of Asset 1 and Asset 2 provides the least amount of risk reduction.

可以翻译一下题目吗？

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2 个答案

Kiko_品职助教 · 2023年08月07日

嗨，从没放弃的小努力你好：


数量和组合都有的。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

Kiko_品职助教 · 2022年06月07日

嗨，努力学习的PZer你好：


首先要看懂题干的表格，一共有3个资产。根据题意，一共有三种情况，每种情况发生概率相同，即发生概率都是1/3。每个资产在不同情况下会产生不同的收益。比如资产1，在第一种情况下，产生的收益率为12%；资产2，在第一种情况下，产生的收益率也是12%；资产3，在第一种情况下，产生的收益率是0%。观察表格发现，三种资产产生的收益率不外乎12%，6%，0%，所以正如表格最后一列所示，这三种资产的预期收益率都是6%（=1/3*12%+1/3*6%+1/3*0%）。

接下来，题目问的是哪对资产组合后风险减小是最小的。其实要问的就是，哪对资产组合后分散化效果是最差的。那么根据资产组合标准差的公式，要找哪两对资产收益率的相关性系数是最大的。

相关性系数反映的是两组数据变化的同步性，这里就可以用到计算器了。以A选项资产1、资产2的收益率相关性系数计算为例，打开金融计算器：[2nd][7]进入data模式，依次输入X01=12，Y01=12；X02=0，Y02=6；X03=6，Y03=0，然后[2nd][8]进入STAT模式，一直按下箭头，直到屏幕出现r=，算出来是0.5。说明两组数据的相关性系数=0.5。同理，可以计算出资产1、资产3收益率的相关性系数为-0.5，资产2、3的相关性系数为-1。最终，选择相关性系数最大的两组资产，那就是A选项了。

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加油吧，让我们一起遇见更好的自己！

信鸽子 · 2023年08月05日

请问一下这个两组之间计算相关系数是哪个学科的呀

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