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王秋宇 · 2022年04月29日

这是什么思路

NO.PZ2015121801000067

问题如下:

An analyst has made the following return projections for each of three possible outcomes with an equal likelihood of occurrence:

If the analyst constructs two-asset portfolios that are equally-weighted, which pair of assets has the lowest expected standard deviation?

选项:

A.

Asset 1 and Asset 2.

B.

Asset 1 and Asset 3.

C.

Asset 2 and Asset 3.

解释:

C  is correct.

An equally weighted portfolio of Asset 2 and Asset 3 will have the lowest portfolio standard deviation, because for each outcome, the portfolio has the same expected return (they are perfectly negatively correlated).

1怎么看出来选项2和3是负相关的?在outcome2中,不都是6吗?难道看的是一个从小到大,另一个从大到小? 2我看之前提问的回答,这题目还能用计算器算?用的7~data,啥意思没毛病

1 个答案

Kiko_品职助教 · 2022年04月29日

嗨,爱思考的PZer你好:


这道题就是需要用计算器按,利用计算器求两组资产之间的相关系数。以A选项资产1 & 资产2的收益率相关性系数计算为例,打开金融计算器:

【2nd】【7】进入data模式,首先清除历史记录【2nd】【CLR WORK】

依次输入两组数据:X01=12【↓】Y01=12【↓】X02=0【↓】Y02=6【↓】X03=6【↓】Y03=0【↓】;

[2nd][8]进入STAT模式,一直按向下的箭头,直到出现r,r=0.5。说明两组数据的相关性系数=0.5。

同理,可以计算出资产1&资产3收益率的相关性系数为-0.5,资产2&资产3收益率的相关性系数为-1。

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