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💗 · 2025年04月07日

没有看懂这一道题的图呢

NO.PZ2015121801000067

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 has the lowest expected standard deviation?

选项:

A.

Asset 1 and Asset 2.

B.

Asset 1 and Asset 3.

C.

Asset 2 and Asset 3.

解释:

C  is correct.

An equally weighted portfolio of Asset 2 and Asset 3 will have the lowest portfolio standard deviation, because for each outcome, the portfolio has the same expected return (they are perfectly negatively correlated).

从列看outcome 1 表示三个不同资产组合下各自的收益吗,从横向看就是资产在不同组合下收益率,那最后一列expected return表示什么呢?有些为0的是因为组合下没有该资产吗

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