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叶赫那拉坤坤 · 2020年08月22日

问一道题：NO.PZ2015121801000067

  1. CFA I
  2. Portfolio

问题如下：

An analyst has made the following return projections for each of three possible outcomes with an equal likelihood of occurrence:

If the analyst constructs two-asset portfolios that are equally-weighted, which pair of assets has the lowest expected standard deviation?

选项：

A.

Asset 1 and Asset 2.

B.

Asset 1 and Asset 3.

C.

Asset 2 and Asset 3.

解释：

C  is correct.

An equally weighted portfolio of Asset 2 and Asset 3 will have the lowest portfolio standard deviation, because for each outcome, the portfolio has the same expected return (they are perfectly negatively correlated).

能用计算器直接算出组合的标准差吗？

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1 个答案

丹丹_品职答疑助手 · 2020年08月23日

嗨，从没放弃的小努力你好：


同学你好，可以的

以A选项资产1 & 资产2的收益率相关性系数计算为例，打开金融计算器：

【2nd】【7】进入data模式，首先清除历史记录【2nd】【CLR WORK】

依次输入两组数据：X01=12【↓】Y01=12【↓】X02=0【↓】Y02=6【↓】X03=6【↓】Y03=0【↓】；

[2nd][8]进入STAT模式，一直按向下的箭头，直到出现r，r=0.5。说明两组数据的相关性系数=0.5。

同理，可以计算出资产1&资产3收益率的相关性系数为-0.5，资产2&资产3收益率的相关性系数为-1。


-------------------------------
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