只看ρ没问题吗？算σp的时候是不是还需要考虑σ1，σ2和σ3的大小啊

NO.PZ2023021601000009

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?(原版书

选项：

A.Asset 1 and Asset 2. B.Asset 1 and Asset 3. C.Asset 2 and Asset 3.

解释：

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 · 2024年05月10日

嗨，从没放弃的小努力你好：

计算方差的公式，

组合中单个资产的方差是稳定不变的，这里面只有cov或者是资产之间的相关系数是可变量，为了降低整个投资组合的方差，只有寻找资产间相关系数最低的资产。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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