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chyje2007 · 2018年08月30日

问一道题:NO.PZ2018070201000063 [ CFA I ]

问题如下图:

选项:

A.

B.

C.

解释:

这道题不明白考的是哪个点?用答案解释里的多资产计算公式我觉得也和这道题说的单个资产对组合影响程度无关呢?

1 个答案

Shimin_CPA税法主讲、CFA教研 · 2018年08月30日

是不是没有读懂选项的意思?就是在考这个公式呀~

你就看最后一个等号后面,σ的平方代表了每个资产的方差,N增加,所以1/N减小,所以加号的左边,也就是每个资产的方差占总组合的分量减小。同样的,加号右边,(N-1)/N可以写成(1-1/N),N增加,1/N减小,所以(1-1/N)增加,也就是说加号右边的COV占总组合的分量会增加。

 

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