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QE_erica · 2022年11月20日

volitility是什么意思。

NO.PZ2015121801000065

问题如下:

The correlation between assets in a two-asset portfolio increases during a market decline. If there is no change in the proportion of each asset held in the portfolio or the expected standard deviation of the individual assets, the volatility of the portfolio is most likely to:

选项:

A.

increase.

B.

decrease.

C.

remain the same.

解释:

A is correct.

Higher correlations will produce less diversification benefits provided that the other components of the portfolio standard deviation do not change (i.e., the weights and standard deviations of the individual assets).

volitility不是变动吗,如果相关性下降,证明风险小了,变动应该小,组合很稳定才对啊


1 个答案
已采纳答案

pzqa27 · 2022年11月21日

嗨,爱思考的PZer你好:


对的,您也说了,如果相关性下降,证明风险小了,变动应该小,,但是题目说的是The correlation between assets in a two-asset portfolio increases

题目说的是增加,所以波动率上升

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