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摩羯大小姐 · 2021年09月25日

A和C的correlation为什么不用收入outcome4里的x值和y值呢

  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.

A和C的correlation为什么不用收入outcome4里的x值和y值呢

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已采纳答案

Kiko_品职助教 · 2021年09月26日

嗨，爱思考的PZer你好：


需要输入的。这道题我们用计算器按就可以。


A和C资产的correlation：

[2nd][7]进入data模式，依次输入X01=20，Y01=0；X02=0，Y02=10；X03=10，Y03=20；X04=10，Y04=10，

然后[2nd][8]进入STAT模式，一直按下箭头，直到屏幕出现b=，算出来是-0.5。说明两组数据的相关性=-0.5

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