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🤨肖大YAN😊 · 2020年06月04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.

正确答案是ASSET B &C 选B吧？？？

因为是-1

P越小，分散化越大。


现在答案是-0.5的，莫非是看绝对值吗？

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1 个答案

丹丹_品职答疑助手 · 2020年06月05日

嗨，爱思考的PZer你好：


同学你好，题干中要求是lowest diversification effect，所以选相关系数最高的0.5，即A和B

 

 


-------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！


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