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苏·Xu · 2025年02月08日

组合

  1. CFA I
  2. Portfolio

NO.PZ2018070201000067

问题如下：

The return projections have been made by Eunice. an analyst from an investment company, for each of the assets with the same probability of occurrence, which combination of two equally-weighted assets has lowest diversification effect?

选项：

A.

Asset A and Asset C.

B.

Asset B and Asset C.

C.

Asset A and Asset B.

解释：

C is correct.

We can also use the calculator to measure the correlation. The correlation between asset B and asset C is -1, between A and B is 0.5, and between A and C is -0.5, the higher correlation, the worse diversification.

这类题目的解题思路是选correlation 最大的（有的题目选最小的）

但是如果根据公式来推倒，只知道权重，每一个的方差是不确定的，如何能保证correlation 最大/最小就是最不分散/分散呢？

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