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吴晓丽 · 2021年02月06日

问一道题:NO.PZ2018070201000066 [ CFA I ]

问题如下:

The return projections have been made by Eunice. an analyst from an investment company, for each of the assets with the same probability of occurrence, which two assets are perfectly negatively correlated?

选项:

A.

Asset A and Asset B.

B.

Asset A and Asset C.

C.

Asset B and Asset C.

解释:

C is correct.

Asset B and Asset C have returns that are the same for Outcome 2, but the exact opposite returns for Outcome 1 and Outcome 3; therefore, because they move in opposite directions at the same magnitude, they are perfectly negatively correlated.

We can also use the calculator to measure the correlation. The correlation between asset B and asset C is -1, so perfectly negatively correlated.

如果用观察的方法是不是A B 也是完全反方向变动的呢…

1 个答案

丹丹_品职答疑助手 · 2021年02月07日

嗨,从没放弃的小努力你好:


同学你好,通过观察法,在outcome1 中A和B都达到了最大值,所以并不是完全反方向变动的


-------------------------------
努力的时光都是限量版,加油!


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