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?