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