NO.PZ2015121801000068
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 provides the least amount of risk reduction?
选项：
A.Asset 1 and Asset 2.
B.Asset 1 and Asset 3.
C.Asset 2 and Asset 3.
解释：
A is correct.
An equally weighted portfolio of Asset 1 and Asset 2 has the highest level of volatility of the three pairs. All three pairs have the same expected return; however, the portfolio of Asset 1 and Asset 2 provides the least amount of risk reduction.
risk reduction 应该是问哪个组合最能够降低风险？
ρ12=0.5，ρ13=-0.5，ρ23=-1
课上得时候，老师说根据组合方差得公式
最大值是ρ=1的时候，就是完全同向，一涨都跟着涨；
最小值是ρ=-1的时候，组合的方差实际就是两个相减的绝对值
那现在问三个组合里，哪个能够降低风险，不是应该选最小值是-1的吗？
