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).
老师好，请问用计算器算出correlation后，是根据correlation是负数且绝对值越大，风险分散作用越强，所以standard deviation越小这样判断吗？感觉最后一列的expected return没有用上，题目给出这个条件应该怎么用呢？
