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yuqijeffery · 2021年02月14日

所以variance越大是相关性越低吗?还是越高

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

2 个答案

丹丹_品职答疑助手 · 2021年02月17日

同学你好,如果同学是从相关性理解组合方差大小的影响思考这道题,我修正下说法,对于一个投资组合,其等于各个风险因素的方差之和和各个风险因素的协方差之和。因为非系统风险各自,以及其与系统风险因子的相关系数比较高,所以会造成组合总风险上升。

丹丹_品职答疑助手 · 2021年02月15日

嗨,努力学习的PZer你好:


同学你好,组合方差等于各个资产方差+资产间协方差。在组合中各个资产方差不变的情况下,资产的相关系数越高 组合的协方差越大,组合的方差越大。


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


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