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尼克内姆 · 2020年05月24日

问一道题:NO.PZ2018070201000064 [ CFA I ]

问题如下:

Eunice, an analyst from an investment company, recently made the following statements about an equally-weighted portfolio consisting of a large number of assets:

Statement 1: Average variance of the individual assets contributes the most to the volatility of the portfolio.

Statement 2: Standard deviation of the individual assets contributes the most to the volatility of the portfolio.

Statement 3: Average covariance between all pairs of assets contributes the most to the volatility of the portfolio.

Which statement is most correct?

选项:

A.

Statement 1.

B.

Statement 2.

C.

Statement 3.

解释:

C is correct.

As the number of assets in the same weighting portfolio increases, the co-movement between assets also increases. As the number of assets contained in the equally weighted portfolio increases, the contribution of each individual asset's variance to portfolio volatility decreases.The following equation for the variance of an equally weighted portfolio illustrates these points:

σ p 2 = σ -2 N + N1 N COV ¯ = σ -2 N + N1 N ρ ¯ σ ¯ 2

请问A的表述和C的表述区别在哪里???

1 个答案

丹丹_品职答疑助手 · 2020年05月27日

嗨,爱思考的PZer你好:


同学你好,statement1 说的是平均方差,statement3 说的是考虑了相关系数的协方差。当我们考虑一个资产和组合在风险的贡献时,我们更关系他的协方差或者说和投资组合的相关系数。


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虽然现在很辛苦,但努力过的感觉真的很好,加油!


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