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Wheel · 2023年02月04日

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

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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