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王10 · 2023年11月21日

这道题没看懂，怎么读表

  1. CFA I
  2. Portfolio

NO.PZ2018070201000066

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 two assets are perfectly negatively correlated?

选项：

A.

Asset A and Asset B.

B.

Asset A and Asset C.

C.

Asset B and Asset C.

解释：

C is correct.

Asset B and Asset C have returns that are the same for Outcome 2, but the exact opposite returns for Outcome 1 and Outcome 3; therefore, because they move in opposite directions at the same magnitude, they are perfectly negatively correlated.

We can also use the calculator to measure the correlation. The correlation between asset B and asset C is -1, so perfectly negatively correlated.

  1. a和b组合时候，为什么有4个outcome值？
  2. 这个outcome值是代表return？
  3. 这个组合是a，b，c三个组合。还是两两组合？
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1 个答案

Kiko_品职助教 · 2023年11月22日

嗨，从没放弃的小努力你好：


1.是ABC都有四个outcome值，这就像概率问题，他们的return都有这四种可能。题目设定就是这样的，没有为什么。

2.是代表return

3.两两组合。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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