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Sophiepan · 2018年05月08日

问一道题:NO.PZ2015121801000067 [ CFA I ]

问题如下图:

    

选项:

A.

B.

C.

解释:



老师,看了计算器使用教程,但是这asset1 2和3算出来的标准差不都是4.2426吗?


1 个答案

韩韩_品职助教 · 2018年05月09日

同学你好,这三个资产单独算的话,标准差都是4.24.但是当负相关的资产组合在一起,标准差是会变小的。

见这个公式,当两个资产完全负相关,p等于-1时,组合之间的方差最小。

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