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庄园monar · 2022年03月24日

这道题用什么公式算的？

  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.

这道题用什么公式算的？

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1 个答案

Kiko_品职助教 · 2022年03月24日

嗨，爱思考的PZer你好：


这道题只给了各个资产的几个return，所以我们用计算器直接按出来就可以。

以计算 B和C资产的correlation为例，

[2nd][7]进入data模式，依次输入X01=20，Y01=0；X02=10，Y02=10；X03=0，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-1。说明两组数据的相关性=-1

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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