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Dang.D · 2021年05月09日

想问一下ρ是看绝对值么，还是就看数的大小呀。

  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.

比如说ρ等于0.5和-0.5的，我的理解是相关性是相同的，只不过一个是正相关、一个是负相关。绝对值是相等的

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丹丹_品职答疑助手 · 2021年05月09日

嗨，努力学习的PZer你好：


同学你好，并不是这样，正负数在相关性中是有很大关系的，正数意味着 齐头并进，负数意味着 此消彼长，这是不同的

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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