NO.PZ2015121801000068
问题如下:
An analyst has made the following return projections for each of three possible outcomes with an equal likelihood of occurrence:
If the analyst constructs two-asset portfolios that are equally weighted, which pair of assets provides the least amount of risk reduction?
选项:
A.Asset 1 and Asset 2.
B.Asset 1 and Asset 3.
C.Asset 2 and Asset 3.
解释:
A is correct.
An equally weighted portfolio of Asset 1 and Asset 2 has the highest level of volatility of the three pairs. All three pairs have the same expected return; however, the portfolio of Asset 1 and Asset 2 provides the least amount of risk reduction.
按计算器分别得到:资产1和2的相关系数为0.5,资产2和3的相关系数为-1,资产1和3的相关系数为-0.5,其中资产2和3的相关系数绝对值为1,是三种组合中相关系数最大的,所以选择C选项,资产2和3的风险分散化程度最低。
请问这个思路是哪里错了?谢谢