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三言午寺 · 2021年02月09日

outcome1排除AB，outcome4都一样不看，从outcome2和outcome3来看为什么不选B？

  1. CFA I
  2. Portfolio

NO.PZ2018070201000066

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.

outcome1排除AB，outcome4都一样不看，从outcome2和outcome3来看为什么不选B？

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3 个答案

pzqa27 · 2022年12月06日

嗨，努力学习的PZer你好：


按计算器的步骤在哪个课件讲过类似地例题吗 我把数量都翻了一遍也没找到 求解指点

计算器的操作教程在早读课程中有详细讲解，这里用到的是计算器上7和8的附键功能


但是BC的outcome2也是一样的呀，观察法为什么能选出C呢？

这里和outcome 2 有关系，但是outcome 2不是唯一决定相关系数的因素。A和C还是B和C都要分析每一个outcome的结果，因为这里是看相关系数，所以每一个结果都是会影响相关系数的，正因为outcome3不一样，所以才导致了答案只能选C

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

丹丹_品职答疑助手 · 2021年02月12日

同学你好，是因为bc在outcome相同的时候并不是彼此的最大值，请知悉。

在组合方差的公式里面，单个资产的方差+资产之间的协方差，如果协方差是负数，他们组合方法是不会得到最大值的

丹丹_品职答疑助手 · 2021年02月09日

嗨，从没放弃的小努力你好：


同学你好，本题是原版书课后题的解析，从观察法上，在outcome3 上，A和C如果是完全相反，那么再A达到最大的时候，c应当是最小，所以不对。如果按计算器也会得到相应的答案的。


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虽然现在很辛苦，但努力过的感觉真的很好，加油！


安在 · 2022年12月05日

按计算器的步骤在哪个课件讲过类似地例题吗 我把数量都翻了一遍也没找到 求解指点

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