开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

嗨森 · 2020年09月15日

问一道题:NO.PZ2018062016000071 [ CFA I ]

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.

虽然做对了 讲的我也懂 但是diversification benefit到底是个啥…然后0到1应该是decrease吧?我看另一个回答最后一句写的0到1也是increase 应该是1到-1一直increase吧根据公式
1 个答案
已采纳答案

星星_品职助教 · 2020年09月15日

同学你好,

做分散化可以理解为去分散也就是减小组合的风险,也就是让组合的σ变小。

根据两资产组合的公式,可以看出来ρ越大越靠近+1,组合σ越大, 也就是组合风险越大;反之ρ越小越靠近-1,组合σ越小。风险就被“分散”掉了。

这道题题干的意思就是ρ在变小,所以组合的风险会越来越小,也就是分散化效果加强了。选择A选项

总结一下就是:

当ρ从-1到1逐渐增加时,组合σ变大,风险变大,分散化效果逐渐减小。

反过来,当ρ从+1到-1逐渐减小时,组合风险逐渐减小,分散化效果逐渐增加。当ρ=-1时,可以找到使得组合风险为0的点。

  • 1

    回答
  • 1

    关注
  • 460

    浏览
相关问题

NO.PZ2018062016000071 问题如下 When the correlation between two stocks creases from 0 to -1, the versification benefit will: A.increase. B.crease. C.remain the same. A is correct. the correlation between two stocks creases, versification effemenhananversification benefit will increase. analyst gathers the following information:Whisecurity hthe highest totrisk?

2024-10-20 11:10 1 · 回答

NO.PZ2018062016000071 问题如下 When the correlation between two stocks creases from 0 to -1, the versification benefit will: A.increase. B.crease. C.remain the same. A is correct. the correlation between two stocks creases, versification effemenhananversification benefit will increase. 这个问题考的概念是不是就是correlation coefficient的绝对值越大,线性关系越强?

2024-04-01 14:18 1 · 回答

NO.PZ2018062016000071 问题如下 When the correlation between two stocks creases from 0 to -1, the versification benefit will: A.increase. B.crease. C.remain the same. A is correct. the correlation between two stocks creases, versification effemenhananversification benefit will increase. 如果说correlation,p 从0 变成了-1 ,虽然说他们之间的相关性变的很强了,但是是inverse的,所以是对投资分散有好处,是这样理解吗?

2023-03-13 18:16 1 · 回答

NO.PZ2018062016000071 问题如下 When the correlation between two stocks creases from 0 to -1, the versification benefit will: A.increase. B.crease. C.remain the same. A is correct. the correlation between two stocks creases, versification effemenhananversification benefit will increase. 这个题目这里,variance下降,说明组合versification分散,风险低。但是离散程度跟这个题目有关吗这两个概念有点模糊感谢回答

2023-03-09 02:51 2 · 回答

NO.PZ2018062016000071 问题如下 When the correlation between two stocks creases from 0 to -1, the versification benefit will: A.increase. B.crease. C.remain the same. A is correct. the correlation between two stocks creases, versification effemenhananversification benefit will increase. 我没有看到这个概念的出现,请问分散化和离散化在这里是不是两个概念?这个vers在这里具体的含义是什么?另外,如果按照答案理解,或者您关于前面几个提问的回答,这道题是不是可以理解为\"对冲效果\"最好?

2022-10-08 15:29 1 · 回答