CFA一級資產(chǎn)組合管理Covariance協(xié)方差是什么?在考試的時候會不會出這個知識點的考題呢?小編給你說說!

CFA考試只要書上有的知識點都是要考的,沒有不考的知識點,考生備考的時一定要將CFA知識點弄懂哦! 看看下面這個考題就是這個知識點,你會做這道題嗎?

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.

【核心詞匯】Covariance:協(xié)方差

是指兩個變量之間的聯(lián)動關(guān)系,可以是正向變化、反向變化,或者是兩者變化不相關(guān)。它等于兩個變量的各自標(biāo)準(zhǔn)差乘以其相關(guān)系數(shù)。