开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

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

----------------------------------------------
努力的时光都是限量版,加油!

  • 1

    回答
  • 0

    关注
  • 561

    浏览
相关问题

NO.PZ2015121801000068 问题如下 analyst hma the following return projections for eaof three possible outcomes with equlikelihooof occurrence:If the analyst constructs two-asset portfolios thare equally weighte whipair of assets provis the least amount of risk rection? A.Asset 1 anAsset 2. B.Asset 1 anAsset 3. C.Asset 2 anAsset 3. is correct.equally weighteportfolio of Asset 1 anAsset 2 hthe highest level of volatility of the three pairs. All three pairs have the same expectereturn; however, the portfolio of Asset 1 anAsset 2 provis the least amount of risk rection. 我用计算器算出来1 2的r=0.5,1 3的r=-0.5,为什么是选择0.5而不是-0.5

2024-10-05 01:03 1 · 回答

NO.PZ2015121801000068问题如下analyst hma the following return projections for eaof three possible outcomes with equlikelihooof occurrence:If the analyst constructs two-asset portfolios thare equally weighte whipair of assets provis the least amount of risk rection?A.Asset 1 anAsset 2.B.Asset 1 anAsset 3.C.Asset 2 anAsset 3.is correct.equally weighteportfolio of Asset 1 anAsset 2 hthe highest level of volatility of the three pairs. All three pairs have the same expectereturn; however, the portfolio of Asset 1 anAsset 2 provis the least amount of risk rection.这个题怎么判断risk ction 用计算器的话

2024-07-31 16:17 1 · 回答

NO.PZ2015121801000068 问题如下 analyst hma the following return projections for eaof three possible outcomes with equlikelihooof occurrence:If the analyst constructs two-asset portfolios thare equally weighte whipair of assets provis the least amount of risk rection? A.Asset 1 anAsset 2. B.Asset 1 anAsset 3. C.Asset 2 anAsset 3. is correct.equally weighteportfolio of Asset 1 anAsset 2 hthe highest level of volatility of the three pairs. All three pairs have the same expectereturn; however, the portfolio of Asset 1 anAsset 2 provis the least amount of risk rection. 2资产取最大的时候3取最小,为什么2和3 不对呢

2024-07-15 09:48 1 · 回答

NO.PZ2015121801000068 问题如下 analyst hma the following return projections for eaof three possible outcomes with equlikelihooof occurrence:If the analyst constructs two-asset portfolios thare equally weighte whipair of assets provis the least amount of risk rection? A.Asset 1 anAsset 2. B.Asset 1 anAsset 3. C.Asset 2 anAsset 3. is correct.equally weighteportfolio of Asset 1 anAsset 2 hthe highest level of volatility of the three pairs. All three pairs have the same expectereturn; however, the portfolio of Asset 1 anAsset 2 provis the least amount of risk rection. 这题也是求组合的相关系数r对吧?相关性越大,越不能rerisk

2024-07-10 18:35 1 · 回答

NO.PZ2015121801000068问题如下analyst hma the following return projections for eaof three possible outcomes with equlikelihooof occurrence:If the analyst constructs two-asset portfolios thare equally weighte whipair of assets provis the least amount of risk rection?A.Asset 1 anAsset 2.B.Asset 1 anAsset 3.C.Asset 2 anAsset 3.is correct.equally weighteportfolio of Asset 1 anAsset 2 hthe highest level of volatility of the three pairs. All three pairs have the same expectereturn; however, the portfolio of Asset 1 anAsset 2 provis the least amount of risk rection.[2n[7]进入ta模式,依次输入X01=12,Y01=12;X02=0,Y02=6;X03=6,Y03=0,然后[2n[8]进入STAT模式,出现1-V,然后按向下箭头,就出现error提示了,请问这是怎么回事啊?

2024-06-26 16:10 1 · 回答