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胖婷肥周 · 2024年03月02日

这道题最后问得没太看懂?

NO.PZ2015121801000068

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 provides the least amount of risk reduction?

选项:

A.

Asset 1 and Asset 2.

B.

Asset 1 and Asset 3.

C.

Asset 2 and Asset 3.

解释:

A  is correct.

An equally weighted portfolio of Asset 1 and Asset 2 has the highest level of volatility of the three pairs. All three pairs have the same expected return; however, the portfolio of Asset 1 and Asset 2 provides the least amount of risk reduction.

risk reduction 应该是问哪个组合最能够降低风险?


ρ12=0.5,ρ13=-0.5,ρ23=-1


课上得时候,老师说根据组合方差得公式


最大值是ρ=1的时候,就是完全同向,一涨都跟着涨;


最小值是ρ=-1的时候,组合的方差实际就是两个相减的绝对值


那现在问三个组合里,哪个能够降低风险,不是应该选最小值是-1的吗?

1 个答案

Kiko_品职助教 · 2024年03月04日

嗨,爱思考的PZer你好:


题目问的是least,仔细审题呀

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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