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尼克内姆 · 2020年05月28日

问一道题:NO.PZ2015121801000132 [ CFA I ]

问题如下:

In defining asset classes as part of the strategic asset allocation decision, pairwise correlations within asset classes should generally be:

选项:

A.

equal to correlations among asset classes.

B.

lower than correlations among asset classes.

C.

higher than correlations among asset classes.

解释:

C  is correct.

As the reading states, "an asset class should contain homogeneous assets… paired correlations of securities would be high within an asset class, but should be lower versus securities in other asset classes."

能不能理解为,资产类别包含更多的资产,类别内部两两资产数量太少,所以风险更高?

1 个答案

丹丹_品职答疑助手 · 2020年05月30日

嗨,努力学习的PZer你好:


同学你好,看不太懂你的问题,题干的意思是同类别风险内部相关系数高,不同类别资产相关系数低。因为同类资产经常会受到很多相同因素的影响。


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虽然现在很辛苦,但努力过的感觉真的很好,加油!