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努力奋斗小小张 · 2021年06月21日

问一道题:NO.PZ2015121801000076 [ CFA I ]

问题如下:

The portfolio of a risk-free asset and a risky asset has a better risk-return tradeoff than investing in only one asset type because the correlation between the risk-free asset and the risky asset is equal to:

选项:

A.

1.0.

B.

0.0.

C.

1.0.

解释:

B  is correct.

A portfolio of the risk-free asset and a risky asset or a portfolio of risky assets can result in a better risk-return tradeoff than an investment in only one type of an asset, because the risk-free asset has zero correlation with the risky asset.

这个tradeoff不应该是-1的相关性吗

1 个答案

丹丹_品职答疑助手 · 2021年06月21日

嗨,努力学习的PZer你好:


同学你好,当相关系数是-1的时候,确实风险分散的效果好。

但是题干问的是无风险资产和风险资产的相关系统,所以是不相关的

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虽然现在很辛苦,但努力过的感觉真的很好,加油!