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Helen 🎈 · 2024年02月26日

这道题是不是可以理解为

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:

σρ2=σ¯2N+N-1NCOV¯=σ¯2N+N-1Nρσ¯2

N越大,相关系数越小,分散化越好

1 个答案

Kiko_品职助教 · 2024年02月26日

嗨,努力学习的PZer你好:


不是哦。N代表的是相同加权组合中资产的数量。可以看公式,N越大,σ²下的分母越大,σ²对σp²的贡献越小(如果N无穷大,这一项是无限接近于0的)所以说明单个资产的波动对整体组合波动性的贡献越小,B选项说的就是这个意思。而cov前面的系数,当N越大,分子和分母都随之增大,说明cov对σp²贡献越大。

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