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李伊Sukey · 2019年03月10日

问一道题:NO.PZ2015121802000023

问题如下图:

    

选项:

A.

B.

C.

解释:


麻烦老师解释下选项C,个人理解correlation coefficient从1降到0,benefit of diversification是下降的,因为资产被分散化了,但是从0降到-1,benefit of diversification是上升的,分散化的收益中有被负相关的资产抵消掉了。


如果correlation coefficient为-1,假设极端情况:

举例:假设一个组合包含A,B两种资产,并且资产AB所占组合的权重同为50%,那么此时又由于AB间的相关系数为-1。所以不管市场行情如何变化,A资产的收益涨(跌)多少,B资产的收益就跌(张)多少,AB资产所构成的组合收益始终为0,收益的方差自然也为0(没有波动)。

哪里理解有问题?

1 个答案

Shimin_CPA税法主讲、CFA教研 · 2019年03月10日

首先说一下结论:correlation越小,分散化效果越好,benefit of diversification increases。

做分散化其实是为了降低风险,风险在组合管理中是用variance或者说standard deviation来衡量的,那么根据数学公式:

ρ的数值越小(而不是它的绝对值),σp越小。

另外,ρ=-1,收益率不一定等于0,方差也不一定等于0,只有当/w1σ1-w2σ2/=0时,组合方差才为0. 收益率和标准差画在图形中是蓝色折线的样子。

 

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