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李梦璐 · 2021年12月17日

相关系数怎么求

NO.PZ2018070201000066

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 two assets are perfectly negatively correlated?

选项:

A.

Asset A and Asset B.

B.

Asset A and Asset C.

C.

Asset B and Asset C.

解释:

C is correct.

Asset B and Asset C have returns that are the same for Outcome 2, but the exact opposite returns for Outcome 1 and Outcome 3; therefore, because they move in opposite directions at the same magnitude, they are perfectly negatively correlated.

We can also use the calculator to measure the correlation. The correlation between asset B and asset C is -1, so perfectly negatively correlated.

老师,这道题的correlation=-1是怎么求出来的呢?另外完全负相关为啥outcome2和4是相同收益呢?

1 个答案

Kiko_品职助教 · 2021年12月17日

嗨,爱思考的PZer你好:


correlation用计算器可以求得。首先2nd 7,然后输入X01=20,Y01=0,X02=10,Y02=10....................以此类推。输入结束后,按2nd 8,一直往下按,可以找到r=-1(前两项是a=20,b=-1).这个r就是B和C的outcome的相关系数,所以是perfectly negatively correlated。

“另外完全负相关为啥outcome2和4是相同收益呢?”

这个outcome出来的return只是概率问题,即使是完全负相关也有可能有一样收益的可能。

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