Captain America · 2022年09月02日
NO.PZ2018062016000071
问题如下：
When the correlation between two stocks decreases from 0 to -1, the diversification benefit will:
选项：
A.
increase.
B.
decrease.
C.
remain the same.
解释：
A is correct. As the correlation between two stocks decreases, diversification effect may enhance and diversification benefit will increase.
这里从0到-1，不是线性关系增强的意思吗？那离散性不是下降了吗？也就是风险变高了。为什么答案是反过来？
星星_品职助教 · 2022年09月02日
同学你好，
1）correlation，即ρ的绝对值越大，说明线性关系越强，本题不涉及此考点。
2）ρ越大，说明分散性越差，风险越高；ρ越小，说明分散性越强，风险越低（本题考点）。这里不需要考虑绝对值。
3）第二条的结论可从两资产组合方差公式得出，公式涉及到ρ的部分是：+2×w1×w2×σ1×σ2×ρ。可以看出，ρ越大，这部分越大，对应的组合方差（即风险）就越大，分散化越差。当ρ达到+1时，风险最大；
相反，ρ越小，这部分越小，组合方差/风险越小，当ρ达到-1时，组合方差最小，分散化效果最好。
Captain America · 2022年09月02日
我可不可以这么理解，组合离散的好处越大，组合风险Cov越小，Cov和correlation是同向变化，所以Correlation越大——Cov风险越大——离散好处越小，反之毅然。
NO.PZ2018062016000071 问题如下 When the correlation between two stocks creases from 0 to -1, the versification benefit will: A.increase. B.crease. C.remain the same. A is correct. the correlation between two stocks creases, versification effemenhananversification benefit will increase. analyst gathers the following information:Whisecurity hthe highest totrisk?
NO.PZ2018062016000071 问题如下 When the correlation between two stocks creases from 0 to -1, the versification benefit will: A.increase. B.crease. C.remain the same. A is correct. the correlation between two stocks creases, versification effemenhananversification benefit will increase. 这个问题考的概念是不是就是correlation coefficient的绝对值越大，线性关系越强？
NO.PZ2018062016000071 问题如下 When the correlation between two stocks creases from 0 to -1, the versification benefit will: A.increase. B.crease. C.remain the same. A is correct. the correlation between two stocks creases, versification effemenhananversification benefit will increase. 如果说correlation，p 从0 变成了-1 ，虽然说他们之间的相关性变的很强了，但是是inverse的，所以是对投资分散有好处，是这样理解吗？
NO.PZ2018062016000071 问题如下 When the correlation between two stocks creases from 0 to -1, the versification benefit will: A.increase. B.crease. C.remain the same. A is correct. the correlation between two stocks creases, versification effemenhananversification benefit will increase. 这个题目这里，variance下降，说明组合versification分散，风险低。但是离散程度跟这个题目有关吗这两个概念有点模糊感谢回答
NO.PZ2018062016000071 问题如下 When the correlation between two stocks creases from 0 to -1, the versification benefit will: A.increase. B.crease. C.remain the same. A is correct. the correlation between two stocks creases, versification effemenhananversification benefit will increase. 我没有看到这个概念的出现，请问分散化和离散化在这里是不是两个概念？这个vers在这里具体的含义是什么？另外，如果按照答案理解，或者您关于前面几个提问的回答，这道题是不是可以理解为\"对冲效果\"最好?
