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monicaguocfa · 2021年06月14日

相关系数绝对值最大的是不是就是风险分散化最小的?

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

1 个答案
已采纳答案

丹丹_品职答疑助手 · 2021年06月14日

嗨,爱思考的PZer你好:


同学你好,对于相关系数这部分,我们是要考虑正负号的。正数1表示的是同涨同跌,负数1表示的此消彼长。题干问的是least risk reduction 意思是最小的风险分散化,那么就是说相关性最高的一组,根据同学你的求解,就是0.5最大,所以a选项正确

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