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If the expected returns of two risky assets have a perfect negative correlation,
If the expected returns of two risky assets have a perfect negative correlation,
游客
2025-06-20
22
管理
问题
If the expected returns of two risky assets have a perfect negative correlation, then risk
选项
A、is increased
B、is unaffected
C、falls to zero
D、is reduced by one-half
答案
C
解析
答案为C项。negative correlation“负相关”。如果两个风险资产的预期收益率是完全负相关的,那该资产组合的风险为零。故本题选C项。
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