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琳 · 2024年06月03日

请问四列的关系

  1. CFA I
  2. Portfolio

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.

请问前三列和第四列什么关系

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1 个答案

Kiko_品职助教 · 2024年06月03日

嗨，从没放弃的小努力你好：


表格一共有3个资产。根据题意，一共有三种情况，每种情况发生概率相同，即发生概率都是1/3。每个资产在不同情况下会产生不同的收益。比如资产1，在第一种情况下，产生的收益率为12%；资产2，在第一种情况下，产生的收益率也是12%；资产3，在第一种情况下，产生的收益率是0%。观察表格发现，三种资产产生的收益率不外乎12%，6%，0%，所以正如表格第四列所示，这三种资产的预期收益率都是6%（=1/3*12%+1/3*6%+1/3*0%）。


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