NO.PZ2015121802000028
问题如下：
Some statements about covariance and correlation are listed below, the least accurate is：
选项：
A.The covariance between two assets is zero, which means there is no linear relationship between the returns of the two assets.
B.If two assets are perfect negatively correlated, the variance of return for a portfolio that is constructed by these two asset equals to zero.
C.The covariance of a two stock portfolio is equal to the correlation coefficient multiples the standard deviations of each stock's returns.
解释：
B is correct.
If two assets are perfect negatively correlated, the correlation is -1, then the set of portfolio risk/return combinations becomes two straight lines. The portfolio of these two assets will have a positive return variance, unless the weight of the portfolio is the combination of those that minimize the combinatorial variance.
The covariance is equal to the correlation coefficient times the standard deviation of the returns of two stocks in the two-stock portfolio.
If the covariance is zero, the correlation coefficient is zero, which means there is no linear relationship between the returns of the two stocks.
老师上课的时候说如果correlation=-1, 组合方差是可能等于0的，有道题也是说correlation=1,有zero variance, 为什么本题中b是错误的呢？
