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jvniki · 2023年01月02日

怎么根据一组数，算出来相关系数的来的

  1. CFA I
  2. Portfolio

NO.PZ2018070201000067

问题如下：

The return projections have been made by Eunice. an analyst from an investment company, for each of the assets with the same probability of occurrence, which combination of two equally-weighted assets has lowest diversification effect?

选项：

A.

Asset A and Asset C.

B.

Asset B and Asset C.

C.

Asset A and Asset B.

解释：

C is correct.

We can also use the calculator to measure the correlation. The correlation between asset B and asset C is -1, between A and B is 0.5, and between A and C is -0.5, the higher correlation, the worse diversification.

相关系数怎么算出来是1、-1、啥的

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1 个答案

pzqa27 · 2023年01月03日

嗨，从没放弃的小努力你好：


最精确的计算方法就是按计算器了，以计算 B和C资产的correlation为例，

[2nd][7]进入data模式，依次输入X01=20，Y01=0；X02=10，Y02=10；X03=0，Y03=20；X04=10，Y04=10，

然后[2nd][8]进入STAT模式，一直按下箭头，直到屏幕出现b=，算出来是-1。说明两组数据的相关性=-1。

如果还不清楚，可以看一下如何使用计算器的最后一个视频。

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