可以用计算证明么

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:

If the analyst constructs two-asset portfolios that are equally-weighted, which pair of assets has the lowest expected standard deviation?

选项：

A.Asset 1 and Asset 2. B.Asset 1 and Asset 3. C.Asset 2 and Asset 3.

解释：

Solution

C 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

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1 个答案

pzqa27 · 2023年02月05日

嗨，努力学习的PZer你好：

这个题算的是correlation，可以直接用计算器进行计算，用到的就是计算器上7 和8的副键。

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NO.PZ2022081802000022问题如下 analyst hma the following return projections for eaof three possible outcomes with equlikelihooof occurrence:If the analyst constructs two-asset portfolios thare equally-weighte whipair of assets hthe lowest expectestanrviation? A.Asset 1 anAsset 2.B.Asset 1 anAsset 3.C.Asset 2 anAsset 3.SolutionC is correct. equally weighteportfolio of Asset 2 anAsset 3 will have the lowest portfolio stanrviation, because for eaoutcome, the portfolio hthe same expectereturn (they are perfectly negatively correlate.详细步骤不会用计算器算这题

2023-05-03 23:38 1 · 回答