NO.PZ2022081802000022
问题如下:
An analyst has made the following return projections for each of three possible outcomes with an equal likelihood of occurrence:
选项:
A.Asset 1 and Asset 2. B.Asset 1 and Asset 3. C.Asset 2 and Asset 3.解释:
SolutionC 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).
这道题到底是算Covariance还是correlation