薇薇 · 2020年03月06日
问题如下：
If the portfolio consisted of a risk-free asset and a risky asset has a better risk-return tradeoff than the portfolio with only one asset type, what's the correlation between the risk-free asset and the risky asset?
选项：
A.−1.0.
B.0.0.
C.1.0.
解释：
B is correct.
When correlation between risk-free asset and risky assets are zero, the return-risk trade off of the portfolio investing in risk-free assets and risky assets is better than that only investing in risky assets.
老师，请问这个题目的知识点是什么？
NO.PZ2018070201000076 问题如下 If the portfolio consisteof a risk-free asset ana risky asset ha better risk-return traoff ththe portfolio with only one asset type, what's the correlation between the risk-free asset anthe risky asset? A.−1.0. B.0.0. C.1.0. B is correct.When correlation between risk-free asset anrisky assets are zero, the return-risk tra off of the portfolio investing in risk-free assets anrisky assets is better ththonly investing in risky assets. E(Rp)=W1R1+W2R2，按照这个公式投资组合收益是无法高于风险资产的收益的，除非杠杆，但是和两个资产的相关系数无关；
不太理解为什么是0就抵消了？不是应该越小 分散化越好？
