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kevinzhu · 2019年11月24日

问一道题:NO.PZ2015121801000068

问题如下:

An analyst has made the following return projections for each of three possible outcomes with an equal likelihood of occurrence:

If the analyst constructs two-asset portfolios that are equally weighted, which pair of assets provides the least amount of risk reduction?

选项:

A.

Asset 1 and Asset 2.

B.

Asset 1 and Asset 3.

C.

Asset 2 and Asset 3.

解释:

A  is correct.

An equally weighted portfolio of Asset 1 and Asset 2 has the highest level of volatility of the three pairs. All three pairs have the same expected return; however, the portfolio of Asset 1 and Asset 2 provides the least amount of risk reduction.

least amount of risk reduction的意思是“风险降低最少

负相关性越强,分散化效果才会更好,正相关性强不利于分散化。

这道题资产1,2 的相关系数为0.5,;

2,3的相关系数为-1;

1,3的相关系数为-0.5。

所以分散化效果最差的是1,2;最好的是2,3的组合。

风险降低最少”=分散化效果最差,所以答案不是应该1和2 吗?



1 个答案

星星_品职助教 · 2019年11月24日

同学你好,

没大看明白问题。。这道题选择A,就是1和2的组合。

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