JoyLi · 2022年07月04日
NO.PZ2020021002000122
问题如下：
Roll noted that well diversified portfolios are nonetheless highly correlated if the holdings are concentrated within the same asset class. True or false? Explain.
选项：
A.
True
B.
False
解释：
True
Roll noted that well-diversified portfolios exhibit high correlations when constrained to the same asset class, whereas there is much less correlation when portfolios are diversified across multiple asset classes.
这个题干是啥意思，麻烦老师翻译一下
品职答疑小助手雍 · 2022年07月05日
同学你好，原意的翻译可以理解为：在单独一种asset class 里做一个well diversified portfolio分散化效果不大（还是高度相关），就比如你做一个股票的well diversified portfolio，其实和某些指数，甚至股票板块的相关性还是挺高的。
再进一步可以理解为，在多种asset class（比如股票，债券，互换，期货种种）之间做一个马科维茨模型的well diversified portfolio要比单独一种asset class中的各种证券做一个well diversified portfolio分散化效果更好。
这只能根据你对马科维茨模型的理解得到结论，不是讲义的直接结论。
NO.PZ2020021002000122 问题如下 Roll notethwell versifieportfolios are nonetheless highly correlateif the holngs are concentratewithin the same asset class. True or false? Explain. A.True B.False TrueRoll notethwell-versifieportfolios exhibit high correlations when constraineto the same asset class, wherethere is muless correlation when portfolios are versifieacross multiple asset classes.中文解析Roll指出，当限制于某一资产类别时，分散的投资组合表现出高度相关性。而当投资组合在多个资产类别中进行分散投资时，相关性要小得多。本题选 没有明白题目意思
NO.PZ2020021002000122问题如下Roll notethwell versifieportfolios are nonetheless highly correlateif the holngs are concentratewithin the same asset class. True or false? Explain. A.True B.False TrueRoll notethwell-versifieportfolios exhibit high correlations when constraineto the same asset class, wherethere is muless correlation when portfolios are versifieacross multiple asset classes.请问这里的Roll 是什么？人名吗
False True Roll notethwell-versifieportfolios exhibit high correlations when constraineto the same asset class, wherethere is muless correlation when portfolios are versifieacross multiple asset classes.老师你好，这题如何理解？谢谢
