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小玖呀 · 2018年11月19日

问一道题:NO.PZ2015121801000068 [ CFA I ]

问题如下图:没看明白表格含义,题干要求用哪一知识点

选项:

A.

B.

C.

解释:

1 个答案

Shimin_CPA税法主讲、CFA教研 · 2018年11月20日

这题跟上一道你问的题目是连着的。表格我就不重复解释了。题目问的是哪对资产组合后风险减小是最小的。其实要问的就是,哪对资产组合后分散化效果是最差的。那么根据资产组合标准差的公式,可以推断出,要找哪两对资产收益率的相关性系数是最大的。

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