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空间笑 · 2018年08月27日

问一道题：NO.PZ2018070201000067 [ CFA I ]

  1. CFA I
  2. Portfolio

两个问题:

第一个问题，这题目答案为什么选C，感觉该选B

因为题目问的是lowest diversification effect，这样相同点越多那么风险分摊效果越差。题目算出B和C资产相关系数为-1，那么其组合算出的标准差该最小，这样也就是风险分摊效果好的表现。

第二个问题，怎么求出B和C资产的correlation为-1？

问题如下图：

选项：

A.

B.

C.

解释：

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已采纳答案

Shimin_CPA税法主讲、CFA教研 · 2018年08月27日

是的，这道题的选项设置有问题，正确选项为Asset A & Asset B。

最精确的计算方法就是按计算器了，以计算 B和C资产的correlation为例，

[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。

如果还不清楚，可以看一下如何使用计算器的最后一个视频。

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