NO.PZ2015121801000068
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 provides the least amount of risk reduction?
选项：
A.
Asset 1 and Asset 2.
B.
Asset 1 and Asset 3.
C.
Asset 2 and Asset 3.
解释：
A is correct.
An equally weighted portfolio of Asset 1 and Asset 2 has the highest level of volatility of the three pairs. All three pairs have the same expected return; however, the portfolio of Asset 1 and Asset 2 provides the least amount of risk reduction.
这题已经算出了相关系数0.5,-0.5,-1。但是在比较的时候，以往认知是说绝对值越大，相关性越大，相关系数等于0，相关性最小。不太理解为什么这题不看绝对值呢。
