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FrankSun · 2020年03月28日

问一道题:NO.PZ2018062016000071

问题如下:

When the correlation between two stocks decreases from 0 to -1, the diversification benefit will:

选项:

A.

increase.

B.

decrease.

C.

remain the same.

解释:

A is correct. As the correlation between two stocks decreases, diversification effect may enhance and diversification benefit will increase.

老师,那么从1到0,增加,0到-1继续增加,对吧?

2 个答案

星星_品职助教 · 2020年09月10日

@Bonnie8916

可以参照一级组合的图像,都是同一个知识点。随着ρ减小,组合方差/标准差是降低的。

当ρ= -1时可以找到标准差为0的组合。可以用这个来迅速判断

星星_品职助教 · 2020年03月28日

同学你好,

分散化效果随着ρ从+1逐渐变到-1是逐渐增加的,也就是组合方差会逐渐减小。这些都没必要提问的,自己画个图或者根据两资产组合方差的公式代入+1,0,-1比较一下就可以了。

Bonnie8916 · 2020年09月09日

请问自己画图具体是什么样的图形呢

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