李同学2019-02-13 17:23:37

01.单选题 已收藏 标记 纠错 Regarding an equally-weighted portfolio made up of a large number of assets, choose one of the following contributes the most to the volatility of the portfolio: A Standard deviation of the individual assets. B Average covariance between all pairs of assets. C Average variance of the individual assets. 查看解析 下一题 正确答案B 您的答案B本题平均正确率：65% Return measures, properties of returns难度：一般 推荐：      答案解析 The co-movement measures between the assets increases (i.e., covariance and correlation) as the number of assets in the equally weighted portfolio increases. The contribution of each individual asset's variance (or standard deviation) to the portfolio's volatility decreases as the number of assets in the equally weighted portfolio increases. The following equation for the variance of an equally weighted portfolio illustrates these points: 请问：这个公式要不要掌握，有计算吗？