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Ivyrao_2019 · 2024年05月22日

AB和AC的correlation分别是0.5和-0.5，为什么选AB？和他们方向相关吗？怎么理解

  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.

AB和AC的correlation分别是0.5和-0.5，为什么选AB？和他们方向相关吗？怎么理解

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1 个答案

Kiko_品职助教 · 2024年05月22日

嗨，从没放弃的小努力你好：


correlation比较大小的时候是不能加绝对值判断的。0.5代表两个资产正相关，-0.5代表两个资产负相关。所以最低的分散化效果，也就是要最高的correlation，就是0.5，正相关的两个资产。

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