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施敏 · 2021年03月11日

你好

  1. CFA I
  2. Portfolio

NO.PZ2018070201000067

问题如下：

The return projections have been made by Eunice. an analyst from an investment company, for each of the assets with the same probability of occurrence, which combination of two equally-weighted assets has lowest diversification effect?

选项：

A.

Asset A and Asset C.

B.

Asset B and Asset C.

C.

Asset A and Asset B.

解释：

C is correct.

We can also use the calculator to measure the correlation. The correlation between asset B and asset C is -1, between A and B is 0.5, and between A and C is -0.5, the higher correlation, the worse diversification.

你好，我发现每个资产的4个收益率数字是一样的，都是一个20，两个10，一个0。三组相同数据之间相关度会不同吗？4个收益率出现的前后顺序有影响吗？
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1 个答案

丹丹_品职答疑助手 · 2021年03月12日

嗨，努力学习的PZer你好：


同学你好，两组数据之间数值和相互变动也是不同的，相关系数会起作用。可以按计算器求解。

也可以根据譬如a和c从没有同时达到最大值体会其相关系数肯定不是1，即双方变动并不是一起的

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努力的时光都是限量版，加油！

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