NO.PZ2017092702000071
问题如下:
All else being equal, as the correlation between two assets approaches +1.0, the diversification benefits:
选项:
A.
decrease.
B.
stay the same.
C.
increase.
解释:
A is correct.
As the correlation between two assets approaches +1, diversification benefits decrease. In other words, an increasingly positive correlation indicates an increasingly strong positive linear relationship and fewer diversification benefits.
ρ越大,组合方差σp的平方就越大,也就是风险越大。所以根据题干描述,当ρ逐渐向+1增加时,分散化的效果会越来越差
1.correlation=0,只代表非线性,不代表独立。
2.但两者独立,代表非线性,=0。
3.因为取值范围是-1到1,越靠近1,越强的线性关系,也就代表没有分散化的作用。