问题如下图:
选项:
A.
B.
C.
解释:
此题为何不选c?策略2和策略1相比,确实相关系数低了呀(看绝对值)。另外何老师课后题讲解上说策略2相关性比1高,好像不对吧,相关性不是比较绝对值吗?
发亮_品职助教 · 2019年05月04日
“相关性不是比较绝对值吗?”
带上符号比,越小提供的分散化效果越好。
两个资产间的Correlation只要小于+1就可以提供分散化的效果。越小越能提供更好的分散化效果。
+1表现出来的特征是:两个资产的收益率是perfectly positively correlated;两个资产收益变动是总是同向的。所以当Correlation=1时,组合的风险就是组合内部各资产风险的直接加权平均。
当把两个资产间的Correlation调小,只要小于+1,那么整个组合的风险一定是小于上面+1相关系数的组合。即组合表现出来的风险小于组合内各资产风险的直接加权平均,如下面这段话截自原版书一级组合部分:
Portfolio risk falls, however, when the two assets are not perfectly correlated (ρ12 < +1).
当Correlation等于-1时,两个资产的收益率是perfectly negatively correlated;两个资产收益变动是总是反向的。这种情况下,组合能够实现最大的Risk reduction。
假设组合有2个资产组合,Fixed-income和Equity,那么组合的风险计算如下公式:
其中W代表权重,发现根号里面其实是一个完全平方公式,当p12取到1时,组合的Standard deviation最大,小于1时即可使得组合的Standard deviation变小,等于-1时,使得组合的Standard deviation最小。
所以Correlation是带上符号比,越小分散化效果越好。
Strategy 1的Correlation是-0.15小于Strategy 2的-0.10,所以Strategy 1提供更好的diversification效果。
弓 · 2021年10月16日
厉害!话都被你说完了。
NO.PZ201812020100000202问题如下 Strategy 2 is most likely preferreto Strategy 1 for meeting the objective of:A.protecting inflation.B.funng future liabilities.C.minimizing the correlation of the funs mestic bonportfolio anequity portfolio. A is correct.Floating-coupon bon provi inflation protection for the interest income because the referenrate shoulaust for inflation. The purchase of fixecoupon bon outlinein Strategy 1 provis no protection against inflation for either interest or principal. Strategy 1 woulinstesuperior to Strategy 2 in funng future liabilities (better prectability to the amount of cash flows) anrecing the correlation between the funs mestic bonportfolio anequity portfolio (better versification). 应该选 strategy 1不是浮动coupon怎么proteinflation呢
NO.PZ201812020100000202 问题如下 Strategy 2 is most likely preferreto Strategy 1 for meeting the objective of: A.protecting inflation. B.funng future liabilities. C.minimizing the correlation of the funs mestic bonportfolio anequity portfolio. A is correct.Floating-coupon bon provi inflation protection for the interest income because the referenrate shoulaust for inflation. The purchase of fixecoupon bon outlinein Strategy 1 provis no protection against inflation for either interest or principal. Strategy 1 woulinstesuperior to Strategy 2 in funng future liabilities (better prectability to the amount of cash flows) anrecing the correlation between the funs mestic bonportfolio anequity portfolio (better versification). 看到有问必答有个同学提的关于策略1的问题,正好想确认下Strategy 1 woulinstesuperior to Strategy 2 in funng future liabilities (better prectability to the amount of cash flows),这句话是否可以理解为购买久期2年的公司债相对于1个月的国债来说,未来的现金流收入更有确定性(久期更长的公司债coupon收益是更加确定的~,而1个月后国债就到期了,所以我们还需要继续做其他策略,来满足funng future liabilitieis)?如果是的话,这里的前提假设应该是持有到期的策略?
NO.PZ201812020100000202 问题如下 Strategy 2 is most likely preferreto Strategy 1 for meeting the objective of: A.protecting inflation. B.funng future liabilities. C.minimizing the correlation of the funs mestic bonportfolio anequity portfolio. A is correct.Floating-coupon bon provi inflation protection for the interest income because the referenrate shoulaust for inflation. The purchase of fixecoupon bon outlinein Strategy 1 provis no protection against inflation for either interest or principal. Strategy 1 woulinstesuperior to Strategy 2 in funng future liabilities (better prectability to the amount of cash flows) anrecing the correlation between the funs mestic bonportfolio anequity portfolio (better versification). 为什么Strategy 1能够更好满足目标1未来的负债
NO.PZ201812020100000202 funng future liabilities. minimizing the correlation of the funs mestic bonportfolio anequity portfolio. A is correct. Floating-coupon bon provi inflation protection for the interest income because the referenrate shoulaust for inflation. The purchase of fixecoupon bon outlinein Strategy 1 provis no protection against inflation for either interest or principal. Strategy 1 woulinstesuperior to Strategy 2 in funng future liabilities (better prectability to the amount of cash flows) anrecing the correlation between the funs mestic bonportfolio anequity portfolio (better versification).correlation大小我记得是看绝对值的呀?所以我认为是strategy2的correlation更小。因为0.1小于0.15
NO.PZ201812020100000202 请问B为什么不对,是因为期限长短的原因吗?