问题如下图：
选项：
A. 
B. 
C. 
解释：
如何理解该题，麻烦解答
Shimin_CPA税法主讲、CFA教研 · 2019年03月03日
首先要看懂题干的表格，一共有3个资产。根据题意，一共有三种情况，每种情况发生概率相同，即发生概率都是1/3。每个资产在不同情况下会产生不同的收益。比如资产1，在第一种情况下，产生的收益率为12%；资产2，在第一种情况下，产生的收益率也是12%；资产3，在第一种情况下，产生的收益率是0%。观察表格发现，三种资产产生的收益率不外乎12%，6%，0%，所以正如表格最后一列所示，这三种资产的预期收益率都是6%（=1/3*12%+1/3*6%+1/3*0%）。
接下来，题目问的是哪对资产组合后风险减小是最小的。其实要问的就是，哪对资产组合后分散化效果是最差的。那么根据资产组合标准差的公式，要找哪两对资产收益率的相关性系数是最大的。
相关性系数反映的是两组数据变化的同步性，这里就可以用到计算器了。以A选项资产1、资产2的收益率相关性系数计算为例，打开金融计算器：[2nd][7]进入data模式，依次输入X01=12，Y01=12；X02=0，Y02=6；X03=6，Y03=0，然后[2nd][8]进入STAT模式，一直按下箭头，直到屏幕出现r=，算出来是0.5。说明两组数据的相关性系数=0.5。同理，可以计算出资产1、资产3收益率的相关性系数为-0.5，资产2、3的相关性系数为-1。最终，选择相关性系数最大的两组资产，那就是A选项了。
NO.PZ2015121801000068 问题如下 analyst hma the following return projections for eaof three possible outcomes with equlikelihooof occurrence:If the analyst constructs two-asset portfolios thare equally weighte whipair of assets provis the least amount of risk rection? A.Asset 1 anAsset 2. B.Asset 1 anAsset 3. C.Asset 2 anAsset 3. is correct.equally weighteportfolio of Asset 1 anAsset 2 hthe highest level of volatility of the three pairs. All three pairs have the same expectereturn; however, the portfolio of Asset 1 anAsset 2 provis the least amount of risk rection. 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
NO.PZ2015121801000068问题如下analyst hma the following return projections for eaof three possible outcomes with equlikelihooof occurrence:If the analyst constructs two-asset portfolios thare equally weighte whipair of assets provis the least amount of risk rection?A.Asset 1 anAsset 2.B.Asset 1 anAsset 3.C.Asset 2 anAsset 3.is correct.equally weighteportfolio of Asset 1 anAsset 2 hthe highest level of volatility of the three pairs. All three pairs have the same expectereturn; however, the portfolio of Asset 1 anAsset 2 provis the least amount of risk rection.这个题怎么判断risk ction 用计算器的话
NO.PZ2015121801000068 问题如下 analyst hma the following return projections for eaof three possible outcomes with equlikelihooof occurrence:If the analyst constructs two-asset portfolios thare equally weighte whipair of assets provis the least amount of risk rection? A.Asset 1 anAsset 2. B.Asset 1 anAsset 3. C.Asset 2 anAsset 3. is correct.equally weighteportfolio of Asset 1 anAsset 2 hthe highest level of volatility of the three pairs. All three pairs have the same expectereturn; however, the portfolio of Asset 1 anAsset 2 provis the least amount of risk rection. 2资产取最大的时候3取最小，为什么2和3 不对呢
NO.PZ2015121801000068 问题如下 analyst hma the following return projections for eaof three possible outcomes with equlikelihooof occurrence:If the analyst constructs two-asset portfolios thare equally weighte whipair of assets provis the least amount of risk rection? A.Asset 1 anAsset 2. B.Asset 1 anAsset 3. C.Asset 2 anAsset 3. is correct.equally weighteportfolio of Asset 1 anAsset 2 hthe highest level of volatility of the three pairs. All three pairs have the same expectereturn; however, the portfolio of Asset 1 anAsset 2 provis the least amount of risk rection. 这题也是求组合的相关系数r对吧？相关性越大，越不能rerisk
NO.PZ2015121801000068问题如下analyst hma the following return projections for eaof three possible outcomes with equlikelihooof occurrence:If the analyst constructs two-asset portfolios thare equally weighte whipair of assets provis the least amount of risk rection?A.Asset 1 anAsset 2.B.Asset 1 anAsset 3.C.Asset 2 anAsset 3.is correct.equally weighteportfolio of Asset 1 anAsset 2 hthe highest level of volatility of the three pairs. All three pairs have the same expectereturn; however, the portfolio of Asset 1 anAsset 2 provis the least amount of risk rection.[2n[7]进入ta模式，依次输入X01=12，Y01=12；X02=0，Y02=6；X03=6，Y03=0，然后[2n[8]进入STAT模式，出现1-V，然后按向下箭头，就出现error提示了，请问这是怎么回事啊？