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Barbara · 2017年04月09日

问一道题:NO.PZ2015121801000068 [ CFA I ]

问题如下图:

    

选项:

A.

B.

C.

请问老师这种类型的题怎么做啊 ?如何看几者之间的关系

1 个答案

源_品职助教 · 2017年04月09日


资产1与2之间的相关性是最高的,资产1和2同时取得12%的收益率,也同时取得“6”的收益率。(资产1在取得12收益率的时候,资产3却只取得0%的收益率,这样两个资产的相关性就比较小),等权重投资两个资产构建组合的时候,由于资产1,2的收益率的相关性很高,所以最不可能降低组合的风险。



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