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叶赫那拉坤坤 · 2020年02月27日

问一道题：NO.PZ2018070201000067

  1. CFA I
  2. Portfolio

问题如下：

The return projections have been made by Eunice. an analyst from an investment company, for each of the assets with the same probability of occurrence, which combination of two equally-weighted assets has lowest diversification effect?

选项：

A.

Asset A and Asset C.

B.

Asset B and Asset C.

C.

Asset A and Asset B.

解释：

C is correct.

We can also use the calculator to measure the correlation. The correlation between asset B and asset C is -1, between A and B is 0.5, and between A and C is -0.5, the higher correlation, the worse diversification.

这题用计算器怎么算呀？答案是有问题吗？

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星星_品职助教 · 2020年02月27日

同学你好，

以计算 B和C资产的correlation为例，

[2nd][7]进入data模式，依次输入X01=20，Y01=0；X02=10，Y02=10；X03=0，Y03=20；X04=10，Y04=10，

然后[2nd][8]进入STAT模式，一直按下箭头，直到屏幕出现b=，算出来是-1。说明两组数据的相关性=-1

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