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简ying · 2019年09月08日

问一道题：NO.PZ2015121801000068 [ CFA I ]

  1. CFA I
  2. Portfolio

问题如下图：这个题给出了各资产期望和方差相同的前提，所以只比较相关系数即可对不对？如果三个资产期望方差不同呢？

选项：

A.

B.

C.

解释：

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1 个答案

Wendy_品职助教 · 2019年09月08日

如果方差不等，那就得用求组合方差的公式算，计算步骤要比这个多一步。

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