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冯有为 · 2018年11月01日

问一道题:NO.PZ2018062016000071 [ CFA I ]

问题如下图:

选项:

A.

B.

C.

解释:

1.老师通过correlation 的大小能判断协方差的大小吗?

2.协方差不是只能判断两组资产的同向性吗?协方差的具体数值能说明风险大小吗?

1 个答案

菲菲_品职助教 · 2018年11月02日

同学你好,首先,通过相关系数和两个资产的标准差可以计算出协方差是多少。其次,协方差的具体数值不能说明风险大小,只是能在其他条件不变的前提下,若协方差变大时判断组合的风险会变大,协方差变小时,组合的风险变小。

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