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AroDing · 2025年04月07日

如题

NO.PZ2018070201000065

问题如下:

As the market decline, the correlation between assets in a two-asset portfolio increase. If the assets weighting and the expected standard deviation of individual assets do not change. Which of the following options is most correct about the volatility of a portfolio?

选项:

A.

the volatility of the portfolio will increase.

B.

the volatility of the portfolio will decrease.

C.

the volatility of the portfolio will remain the same.

解释:

A is correct.

If the weighting and standard deviation of the portfolio remain unchanged, higher correlation will result in smaller diversification benefits.

correlation和risk和volatility成正比,和diversification成反比对吗

0 个答案