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vee · 2022年12月01日

A什么意思

  1. CFA I
  2. Portfolio

NO.PZ2015121802000023

问题如下：

Which of the following descriptions of correlation is least accurate?

选项：

A.

If correlation coefficient is less than 1, diversification can reduce risk 

B.

A zero variance portfolio can be constructed when the correlation coefficient is zero.

C.

The potential benefit of diversification is increased with the decrease of correlation coefficient.

解释：

B is correct.

A zero variance portfolio can only be constructed when the correlation coefficient is -1.

A不是要小于0才有分散的作用吗，如果大于0那假设0.9，也很接近1那不是风险也很高嘛？不是大于0的相关都不是好的资产组合吗

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1 个答案

pzqa27 · 2022年12月02日

嗨，从没放弃的小努力你好：


A说只要相关系数小于1，就可以分散风险，这个是对的，哪怕是0.9，我们依旧可以分散一部分风险，根据下图的公式，σP在ρ=1和ρ=0.9时计算下来时，肯定是ρ=0.9的σP<ρ=1的σP。因此只要ρ 小于1，都是有分散化作用的

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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