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chyje2007 · 2018年08月30日

问一道题：NO.PZ2015121801000068 [ CFA I ]

  1. CFA I
  2. Portfolio

问题如下图：

选项：

A.

B.

C.

解释：

这道题也是用计算器7和8健？那么求的是什么直呢

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1 个答案

Shimin_CPA税法主讲、CFA教研 · 2018年08月30日

这个题多拐个弯，risk reduction最佳的是correlation低的两组数，correlation低，两资产组合后的风险分散化效果好。

这道题问的是least amount of risk reduction，所以找的是哪两组数据的correlation最高。还是用计算器算一下。

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