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zhy · 2018年09月22日

只能是计算器计算Correlation比较后求解？问一道题：NO.PZ2015121801000068 [ CFA I ]

  1. CFA I
  2. Portfolio

本题目前常规做法只能是计算器计算Correlation比较后求解？


问题如下图：

    

选项：

A.

B.

C.

解释：



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1 个答案

Shimin_CPA税法主讲、CFA教研 · 2018年09月22日

同学你好，如果只通过观察，那么比较明显的是2和3两资产，相关性为-1，这一问在题库中有几道相似的题目，所以对于找相关性=-1的资产，可以不用计算，直接看。

但是本题问的是风险减少最小的，也就是分散化最不足的，得找相关性越大越好。1和3，1和2，仅凭观察很难推断，所以按计算器最准。

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