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沐沐的方盒 · 2022年06月25日

请问这道题只能用计算器一个一个算吗？有什么简便做法吗？

  1. CFA I
  2. Portfolio

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).

如题

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1 个答案

Kiko_品职助教 · 2022年06月27日

嗨，从没放弃的小努力你好：


是的，这道题精确的做法还是要按下计算器的。

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