NO.PZ2015121801000114
问题如下:
Portfolio managers, who are maximizing risk-adjusted returns, will seek to invest less in securities with:
选项:
A.lower values for nonsystematic variance.
B.values of nonsystematic variance equal to 0.
C.higher values for nonsystematic variance.
解释:
C is correct.
Since managers are concerned with maximizing risk-adjusted returns, securities with greater nonsystematic risk should be given less weight in the portfolio.
所以variance越大是相关性越低吗?还是越高