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yuqijeffery · 2021年02月10日

所以两个资产越相关standard deviation越大？

  1. CFA I
  2. Portfolio

NO.PZ2015121801000067

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).

所以两个资产越相关standard deviation越大？

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1 个答案

丹丹_品职答疑助手 · 2021年02月12日

嗨，努力学习的PZer你好：


同学你好，是这样的。

根据组合方差的公式，组合方差等于各个资产的方差+资产之前的协方差，相关系数和资产协方差正相关，越相关协方差越大


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


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