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tongmopwt · 2019年12月30日

问一道题：NO.PZ2015121801000068

  1. CFA I
  2. Portfolio

问题如下：

An analyst has made the following return projections for each of three possible outcomes with an equal likelihood of occurrence:

If the analyst constructs two-asset portfolios that are equally weighted, which pair of assets provides the least amount of risk reduction?

选项：

A.

Asset 1 and Asset 2.

B.

Asset 1 and Asset 3.

C.

Asset 2 and Asset 3.

解释：

A  is correct.

An equally weighted portfolio of Asset 1 and Asset 2 has the highest level of volatility of the three pairs. All three pairs have the same expected return; however, the portfolio of Asset 1 and Asset 2 provides the least amount of risk reduction.

请问相关系数要计算是怎么算呀

添加评论
Serena · 2020年08月16日

清零，按照计算方法还是出现error. 是什么原因啊？

Erwin · 2020年08月30日

我也是出现错误，是啥问题？[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

3 个答案

星星_品职助教 · 2020年08月31日

@Erwin

同学你好，这个按键没有问题，正常清零后按照按键顺序出来后就是r=0.5

星星_品职助教 · 2020年08月16日

@Serena

同学你好，

可以把你的具体按键过程发上来看一下

星星_品职助教 · 2019年12月30日

同学你好，

以1、2资产的相关性计算为例，使用计算器：
[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=0.5

tongmopwt · 2019年12月31日

谢谢老师

梦想的蝴蝶 · 2020年02月17日

为什么我按照这种按法输出结果的时候显示错误啊

星星_品职助教 · 2020年02月18日

这个过程是没问题的，可以检查一下是否清零，数据输没输入成功等

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