NO.PZ2015121801000067
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:
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).
简单用2、3两种资产的三种结果相加,每个结果都是12这样说明波动最小,所有方差最小,其他的组合都是波动大,方差大。这样考虑有逻辑吗