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Katherine · 2023年08月30日

这题

  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.

如何计算相关性公式是啥

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1 个答案

星星_品职助教 · 2023年08月30日

同学你好，

如果是给出的是两组数字，则直接按计算器来计算相关系数。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 r=，算出来是-1。说明两组数据的相关性=-1

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