题目
A risk manager is analyzing the characteristics of a portfolio created by combining two stocks with standard deviations of returns of 14% and 19%, and a correlation coefficient of -1 between their returns. Assume no borrowing and no short selling is allowed, which of the following statements about potential portfolios created from only these two stocks is correct?
选项
A.It is possible to create a portfolio that has a standard deviation of returns greater than 19%.
B.It is possible to create a portfolio that has a standard deviation of returns of 0%.
C.All possible portfolios will lie on the efficient frontier in standard deviation/return space.
D.All possible portfolios will lie on a single straight line in standard deviation/return space.
答案
B
解析
The correlation of -1 makes it possible to create a portfolio that has a standard deviation of returns of 0%.-1的相关性使得创建投资组合的回报标准偏差为0％成为可能。