CFA一级资产组合管理Covariance协方差是什么?

 CFA一级资产组合管理Covariance协方差是什么?在考试的时候会不会出这个知识点的考题呢?小编给你说说!

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Which of the following statements about covariance and correlation is least accurate?

A  A zero covariance implies there is no linear relationship between the returns on two assets.

B  If two assets have perfect negative correlation, the variance of returns for a portfolio that consists of these two assets will equal zero.

C  The covariance of a 2-stock portfolio is equal to the correlation coefficient times the standard deviation of one stocks returns times the standard deviation of the other stocks returns.

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【答案及解析】B  If the correlation of returns between the two assets is 1, the set of possible portfolio risk/return combinations becomes two straight lines (see Figure 52.2). A portfolio of these two assets will have a positive returns variance unless the portfolio weights are those that minimize the portfolio variance. Covariance is equal to the correlation coefficient multiplied by the product of the standard deviations of the returns of the two stocks in a 2-stock portfolio. If covariance is zero, then correlation is also zero, which implies that there is no linear relationship between the two stocks returns.

【核心词汇】Covariance:协方差

是指两个变量之间的联动关系,可以是正向变化、反向变化,或者是两者变化不相关。它等于两个变量的各自标准差乘以其相关系数。

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