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凡尘白骑士 · 2020年01月27日

问一道题：NO.PZ2018070201000064

  1. CFA I
  2. Portfolio

问题如下：

Eunice, an analyst from an investment company, recently made the following statements about an equally-weighted portfolio consisting of a large number of assets：

Statement 1: Average variance of the individual assets contributes the most to the volatility of the portfolio.

Statement 2: Standard deviation of the individual assets contributes the most to the volatility of the portfolio.

Statement 3: Average covariance between all pairs of assets contributes the most to the volatility of the portfolio.

Which statement is most correct?

选项：

A.

Statement 1.

B.

Statement 2.

C.

Statement 3.

解释：

C is correct.

As the number of assets in the same weighting portfolio increases, the co-movement between assets also increases. As the number of assets contained in the equally weighted portfolio increases, the contribution of each individual asset's variance to portfolio volatility decreases.The following equation for the variance of an equally weighted portfolio illustrates these points:

σ p 2 = σ -2 N + N−1 N COV ¯ = σ -2 N + N−1 N ρ ¯ σ ¯ 2

老师，这单题目是不是可用1/n *α+ n-1/n *cov这个公式去理解。

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1 个答案

星星_品职助教 · 2020年02月03日

同学你好，

可以用你写的公式去理解。

但是可以更简单一些，这道题其实就是一个结论，随着组合中资产数量的增加，协方差（而不是方差）的影响更大。

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