标题: fun quiz [打印本页] 作者: Howd 时间: 2011-7-13 15:33 标题: fun quiz
a better diversification asset should have:
A high volatility and low correlation
B low volatility and low correlation
C low correlation regardless the volatility作者: lcw77 时间: 2011-7-13 15:33
A.
High vol and negative would be best.
You want the asset to move a lot and be uncorrelated/negatively correlated with the portfolio.
Bingo!
Edited 1 time(s). Last edit at Thursday, June 2, 2011 at 12:32PM by Paraguay.作者: mcmc 时间: 2011-7-13 15:33
If we have our current portfolio which has, say a standard deviation of 15%, we want to add a diversifying asset to this portfolio.
We have 2 options:
Asset 1: standard deviation = 18% and correlation = 0.2
Asset 2: standard deviation = 50% and correlation = 0.2
Which one is the better diversifier?作者: Windjam 时间: 2011-7-13 15:34
A
As Paraguay rightly pointed it.
Think about it from a covariance perspective. Wouldn't you prefer an asset with a correlation of -1 and a high SD to give a large negative number that reduces your new SD作者: cityboy 时间: 2011-7-13 15:34
answer is A
this is EOC
over作者: lcai 时间: 2011-7-13 15:34
