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杨舒芃 · 2021年05月11日

不太理解a correlation还能比1大？

  1. CFA I
  2. Portfolio

NO.PZ2015121802000023

问题如下：

Which of the following descriptions of correlation is least accurate?

选项：

A.

If correlation coefficient is less than 1, diversification can reduce risk 

B.

A zero variance portfolio can be constructed when the correlation coefficient is zero.

C.

The potential benefit of diversification is increased with the decrease of correlation coefficient.

解释：

B is correct.

A zero variance portfolio can only be constructed when the correlation coefficient is -1.

不太理解a correlation还能比1大？

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1 个答案

丹丹_品职答疑助手 · 2021年05月12日

嗨，从没放弃的小努力你好：


同学，不能了，最大就是1，a选项的意思是如果相关系数小于1，组合风险会小于两个资产的风险简单加总

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