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西红柿面 · 2023年09月10日

这题不用计算器可以判断吗

  1. CFA I
  2. Portfolio

NO.PZ2018070201000067

问题如下：

The return projections have been made by Eunice. an analyst from an investment company, for each of the assets with the same probability of occurrence, which combination of two equally-weighted assets has lowest diversification effect?

选项：

A.

Asset A and Asset C.

B.

Asset B and Asset C.

C.

Asset A and Asset B.

解释：

C is correct.

We can also use the calculator to measure the correlation. The correlation between asset B and asset C is -1, between A and B is 0.5, and between A and C is -0.5, the higher correlation, the worse diversification.

直接用眼睛看AB两个变动更一致，然后直接判断可以吗？

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Kiko_品职助教 · 2023年09月13日

嗨，努力学习的PZer你好：


不太行，因为BC的outcome2变动也是一致的。最准确保险的办法还是计算一下。

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努力的时光都是限量版，加油！

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