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 provides the least amount of risk reduction?
选项:
A. Asset 1 and Asset 2.
B. Asset 1 and Asset 3.
C. Asset 2 and Asset 3.
解释:
A is correct.
An equally weighted portfolio of Asset 1 and Asset 2 has the highest level of volatility of the three pairs. All three pairs have the same expected return; however, the portfolio of Asset 1 and Asset 2 provides the least amount of risk reduction.
感觉这个解释跟没解释一样啊,计算一下correlation难道不是最准确的吗……为什么没有计算过程呢?都只是估了一个大概?