NO.PZ2018070201000063
问题如下:
Eunice, an analyst from an investment company, recently made the following statements:
Statement 1: With the increase in the number of investment assets in the equal weight portfolio, the contribution of the variance of each individual asset to the variance of portfolio increase;
Statement 2: With the increase in the number of investment assets in the equal weight portfolio, the contribution of the variance of each individual asset to the variance of portfolio decrease;
Statement 3: With the increase in the number of investment assets in the equal weight portfolio, the contribution of the variance of each individual asset to the variance of portfolio remains the same.
Which statement is most correct?
选项:
A.
Statement 1.
B.
Statement 2.
C.
Statement 3.
解释:
B is correct.
As the number of assets in the same weighting portfolio increases, the contribution of each individual asset's contribution to portfolio volatility decreases. As the number of assets in an equally weighted portfolio increases, the contribution of co-movement measures between assets increases. The following equation for the variance of an equally weighted portfolio illustrates these points:
根据公式,随着数量的增加也就是可以理解成n增大,用极限的思想看,当N趋近于无限大时,1/N趋近于0,N-1/N趋近于1,也就是整个公式只会受COV的影响,题目给出的条件并不影响COV,为什么不是不变呢,我这个理解有什么问题吗