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考拉女士 · 2020年02月26日

问一道题:NO.PZ2018070201000132 [ CFA I ]

问题如下:

The definition of asset classes is an important step in the decision of strategic asset allocation, and the correlations of securities in an asset class is generally supposed to be:

选项:

A.

equal to the correlations with other asset classes.

B.

lower than the correlations with other asset classes.

C.

higher than the pairwise correlations with other asset classes.

解释:

C is correct.

When defining asset classes, the homogeneous assets should be contained in the same asset class. So the paired correlations of assets within an asset class should be relatively high, while the paired correlations of assets among different asset classes should be lower.

这个知识点没太懂,可以用中文解释一下吗?

1 个答案
已采纳答案

丹丹_品职答疑助手 · 2020年02月26日

同学你好,本题考查的是R54-portfolio construction部分中的内容。

资产分类的过程就是把具有相似特征的资产归为一类。因此分类的结果同类资产内的相关程度高,不同类的资产相关程度偏低。C选项正确