问题如下图:
选项:
A.
B.
C.
解释:
不太明白这道题是什么意思,麻烦老师解读一下谢谢
NO.PZ2015121801000076问题如下The portfolio of a risk-free asset ana risky asset ha better risk-return traoff thinvesting in only one asset type because the correlation between the risk-free asset anthe risky asset is equto:A.−1.0.B.0.0.C.1.0.is correct.A portfolio of the risk-free asset ana risky asset or a portfolio of risky assets cresult in a better risk-return traoff thinvestment in only one type of asset, because the risk-free asset hzero correlation with the risky asset.看了前几年的解析没想明白
0.0. 1.0. B is correct. A portfolio of the risk-free asset ana risky asset or a portfolio of risky assets cresult in a better risk-return traoff thinvestment in only one type of asset, because the risk-free asset hzero correlation with the risky asset. 这个traoff不应该是-1的相关性吗
凭直觉选对了,但是不明白深层原因。
为什么correlation 不是1? 而是0?Rf asset 和 risky asset 之前不是有线性关系么?