NO.PZ2018070201000076
问题如下：
If the portfolio consisted of a risk-free asset and a risky asset has a better risk-return tradeoff than the portfolio with only one asset type, what's the correlation between the risk-free asset and the risky asset?
选项：
A.−1.0.
B.0.0.
C.1.0.
解释：
B is correct.
When correlation between risk-free asset and risky assets are zero, the return-risk trade off of the portfolio investing in risk-free assets and risky assets is better than that only investing in risky assets.
E(Rp)=W1R1+W2R2，按照这个公式投资组合收益是无法高于风险资产的收益的，除非杠杆，但是和两个资产的相关系数无关；
