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嗨森 · 2020年09月15日

问一道题:NO.PZ2018062016000071 [ CFA I ]

问题如下:

When the correlation between two stocks decreases from 0 to -1, the diversification benefit will:

选项:

A.

increase.

B.

decrease.

C.

remain the same.

解释:

A is correct. As the correlation between two stocks decreases, diversification effect may enhance and diversification benefit will increase.

虽然做对了 讲的我也懂 但是diversification benefit到底是个啥…然后0到1应该是decrease吧?我看另一个回答最后一句写的0到1也是increase 应该是1到-1一直increase吧根据公式
1 个答案
已采纳答案

星星_品职助教 · 2020年09月15日

同学你好,

做分散化可以理解为去分散也就是减小组合的风险,也就是让组合的σ变小。

根据两资产组合的公式,可以看出来ρ越大越靠近+1,组合σ越大, 也就是组合风险越大;反之ρ越小越靠近-1,组合σ越小。风险就被“分散”掉了。

这道题题干的意思就是ρ在变小,所以组合的风险会越来越小,也就是分散化效果加强了。选择A选项

总结一下就是:

当ρ从-1到1逐渐增加时,组合σ变大,风险变大,分散化效果逐渐减小。

反过来,当ρ从+1到-1逐渐减小时,组合风险逐渐减小,分散化效果逐渐增加。当ρ=-1时,可以找到使得组合风险为0的点。

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