CFA一級(jí)資產(chǎn)組合管理Covariance協(xié)方差是什么？在考試的時(shí)候會(huì)不會(huì)出這個(gè)知識(shí)點(diǎn)的考題呢？小編給你說說！

CFA考試只要書上有的知識(shí)點(diǎn)都是要考的，沒有不考的知識(shí)點(diǎn)，考生備考的時(shí)一定要將CFA知識(shí)點(diǎn)弄懂哦！ 看看下面這個(gè)考題就是這個(gè)知識(shí)點(diǎn)，你會(huì)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 stock’s returns times the standard deviation of the other stock’s returns.

知道了這道題，那你做著如何呢？備考2021年CFA考試是機(jī)考，想要要適應(yīng)2021年機(jī)考，這邊有CFA模擬仿真機(jī)考，有需要的可以掃一掃預(yù)約！

【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(gè)變量之間的聯(lián)動(dòng)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(gè)變量的各自標(biāo)準(zhǔn)差乘以其相關(guān)系數(shù)。