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Ivygood · 2018年02月07日

问一道题:NO.PZ2015121801000068 [ CFA I ]

有没有定量一点的答案?这是一系列的题目,最后一句话感觉是结论,没有太看懂原因。题如下图:

选项:

A.

B.

C.

解释:

1 个答案
已采纳答案

李宗_品职助教 · 2018年02月09日

你好童鞋,两两资产之间的相关系数越高,那么分散化效果越差,于是RISK REDUNTION也就越小。

用计算器7,8功能键可以算得,1,2的相关系数为0.5;1,3 的相关系数为-0.5;2,3的相关系数为-1。所以1,2的相关系数最高,分散化最差,波动最大。



Ivygood · 2018年02月12日

相关系数用计算器如何算呀?是2那个键吗?好像何老师没讲过。。

李宗_品职助教 · 2018年02月14日

这个在计算机使用的视频里有具体说明

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