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聂赫留朵夫 · 2020年07月12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.

请问，题目问的是分散化效果最低的组合，B和C完全负相关，答案不应该选B吗

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丹丹_品职答疑助手 · 2020年07月13日

嗨，从没放弃的小努力你好：


同学你好，请认真读题哦，题干要求是lowest diversification effect，最低分散效果的，所以相关系数最高。


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


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