李伊Sukey · 2019年03月10日
问题如下图：
选项：
A. 
B. 
C. 
解释：
麻烦老师解释下选项C，个人理解correlation coefficient从1降到0，benefit of diversification是下降的，因为资产被分散化了，但是从0降到-1，benefit of diversification是上升的，分散化的收益中有被负相关的资产抵消掉了。
如果correlation coefficient为-1，假设极端情况：
举例：假设一个组合包含A,B两种资产，并且资产A，B所占组合的权重同为50%，那么此时又由于AB间的相关系数为-1。所以不管市场行情如何变化，A资产的收益涨（跌）多少，B资产的收益就跌（张）多少，AB资产所构成的组合收益始终为0，收益的方差自然也为0（没有波动）。
哪里理解有问题？
NO.PZ2015121802000023问题如下 Whiof the following scriptions of correlation is least accurate?A.If correlation coefficient is less th1, versification crerisk B.A zero varianportfolio cconstructewhen the correlation coefficient is zero.C.The potentibenefit of versification is increasewith the crease of correlation coefficient.B is correct.A zero varianportfolio conly constructewhen the correlation coefficient is -1.只有相关系数为-1，组合投资的方差才可能为零吗？
NO.PZ2015121802000023 问题如下 Whiof the following scriptions of correlation is least accurate? A.If correlation coefficient is less th1, versification crerisk B.A zero varianportfolio cconstructewhen the correlation coefficient is zero. C.The potentibenefit of versification is increasewith the crease of correlation coefficient. B is correct.A zero varianportfolio conly constructewhen the correlation coefficient is -1. A不是要小于0才有分散的作用吗，如果大于0那假设0.9，也很接近1那不是风险也很高嘛？不是大于0的相关都不是好的资产组合吗
NO.PZ2015121802000023 问题如下 Whiof the following scriptions of correlation is least accurate? A.If correlation coefficient is less th1, versification crerisk B.A zero varianportfolio cconstructewhen the correlation coefficient is zero. C.The potentibenefit of versification is increasewith the crease of correlation coefficient. B is correct.A zero varianportfolio conly constructewhen the correlation coefficient is -1. 如题
NO.PZ2015121802000023 问题如下 Whiof the following scriptions of correlation is least accurate? A.If correlation coefficient is less th1, versification crerisk B.A zero varianportfolio cconstructewhen the correlation coefficient is zero. C.The potentibenefit of versification is increasewith the crease of correlation coefficient. B is correct.A zero varianportfolio conly constructewhen the correlation coefficient is -1. 通过排除法选了B
NO.PZ2015121802000023 问题如下 Whiof the following scriptions of correlation is least accurate? A.If correlation coefficient is less th1, versification crerisk B.A zero varianportfolio cconstructewhen the correlation coefficient is zero. C.The potentibenefit of versification is increasewith the crease of correlation coefficient. B is correct.A zero varianportfolio conly constructewhen the correlation coefficient is -1. 1、是否相关系数越小，分散化效果就越强？2、当相关系数等于-1时，分散化效果最强?3、当相关系数等于1时，分散化是否还仍然有效？
