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空间笑 · 2018年08月27日

问一道题:NO.PZ2018070201000067 [ CFA I ]

两个问题:

第一个问题,这题目答案为什么选C,感觉该选B

因为题目问的是lowest diversification effect,这样相同点越多那么风险分摊效果越差。题目算出B和C资产相关系数为-1,那么其组合算出的标准差该最小,这样也就是风险分摊效果好的表现。

第二个问题,怎么求出B和C资产的correlation为-1?

问题如下图:

选项:

A.

B.

C.

解释:

1 个答案
已采纳答案

Shimin_CPA税法主讲、CFA教研 · 2018年08月27日

是的,这道题的选项设置有问题,正确选项为Asset A & Asset B。

最精确的计算方法就是按计算器了,以计算 B和C资产的correlation为例,

[2nd][7]进入data模式,依次输入X01=20,Y01=0;X02=10,Y02=10;X03=0,Y03=20;X04=10,Y04=10,

然后[2nd][8]进入STAT模式,一直按下箭头,直到屏幕出现b=,算出来是-1。说明两组数据的相关性=-1。

如果还不清楚,可以看一下如何使用计算器的最后一个视频。

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