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Olivia.W🌸 · 2024年07月10日

这题也是求组合的相关系数r对吧？相关性越大，越不能reduce risk

  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.

这题也是求组合的相关系数r对吧？相关性越大，越不能reduce risk

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1 个答案

Kiko_品职助教 · 2024年07月10日

嗨，努力学习的PZer你好：


是的。

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