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🐚 · 2024年10月05日

0.5和-0.5怎么选择

  1. CFA I
  2. Portfolio

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.

我用计算器算出来1&2的r=0.5，1&3的r=-0.5，为什么是选择0.5而不是-0.5

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1 个答案

Kiko_品职助教 · 2024年10月08日

嗨，爱思考的PZer你好：


题目问的是：哪一对资产提供的降低风险程度最小或者最差？也就是问哪一对组合在一起风险最大。那就找相关性最大的，所以选0.5而不是-0.5

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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