NO.PZ2018070201000068
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 expected standard deviation?
选项:
A.Asset B and Asset C.
B.Asset A and Asset C.
C.Asset A and Asset B.
解释:
A is correct
Asset B and Asset C have the same expected return, and these two are perfectly negatively correlated. So the portfolio's standard deviation is the lowest.
解析:这道题可以用计算器快速的算出资产之间两两的correlation,然后作比较。过程如下:
以A选项计算 B和C资产的correlation为例,我们看的就是横向倒数两行的数据。最后两行数据说明:当B收益率为20%时,C为0%;当B收益率为10%时,C也为10%;当B收益率为0%时,C为20%;当B收益率为10%时,C也为10%;
所以计算器输入方式如下:
[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b=,算出来是-1。说明两组数据的相关性=-1。
由于-1已经是最低的correlation了,所以这道题一定就选A。但自己练习时,也可以用相同的方式来计算选项B和选项C中的correlation。
在b=-1之前,a=20,这个a是什么