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wyrw · 2024年08月11日

本题解题思路

  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.

表格含义是什么，如何使用计算器计算，解题思路是怎样的

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1 个答案

Kiko_品职助教 · 2024年08月12日

嗨，从没放弃的小努力你好：


表格给了三种资产，在不同情况下的四种return，竖着看，例如第一种情况下，A的return是20%，B的也是20%，C是0。以此类推。题干中要求找出lowest diversification分散化效果最低的两种资产，也就是correlation数值最大的两组数据。用计算器求两资产之间的correlation即可。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 r=，算出来是-1。说明两组数据的相关性=-1。

同理可以算出AC之间相关性是-0.5，AB之间是0.5，所以最高的是AB之间。答案是C

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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