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Sofia nice · 2023年08月18日

简单用两种资产的三种结果相加

  1. CFA I
  2. Portfolio

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

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已采纳答案

EmilyZhou · 2024年06月12日

请问计算器最后一个结果是什么意思？（求和XY）

Kiko_品职助教 · 2024年06月13日

嗨，从没放弃的小努力你好：


∑xy表示对所有的x和y的乘积进行求和。可以理解为对一系列x和y的乘积进行加总的操作。例如，如果有一系列的数据点(x1, y1), (x2, y2), ..., (xn, yn)，那么∑xy就是将这些点的x值和y值的乘积相加的结果。

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努力的时光都是限量版，加油！

Kiko_品职助教 · 2023年08月18日

嗨，从没放弃的小努力你好：


不太符合逻辑，这道题没啥别的办法，只能计算器算出来比较。

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加油吧，让我们一起遇见更好的自己！

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