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ruby5ltc · 2022年06月07日

请问

  1. CFA I
  2. Portfolio

NO.PZ2015121802000023

问题如下：

Which of the following descriptions of correlation is least accurate?

选项：

A.

If correlation coefficient is less than 1, diversification can reduce risk 

B.

A zero variance portfolio can be constructed when the correlation coefficient is zero.

C.

The potential benefit of diversification is increased with the decrease of correlation coefficient.

解释：

B is correct.

A zero variance portfolio can only be constructed when the correlation coefficient is -1.

1、是否相关系数越小，分散化效果就越强？

2、当相关系数等于-1时，分散化效果最强?

3、当相关系数等于1时，分散化是否还仍然有效？

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1 个答案

Kiko_品职助教 · 2022年06月07日

嗨，努力学习的PZer你好：


1.是的。

2.是的。

3.无效。

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