题目
In regard to the combination of two assets in the mean-variance framework, each of the following is true EXCEPT:
选项
A.The lower (i.e., closer to -1.0) the correlation coefficient between assets, all other attributes held constant, the higher the payoff from diversification.
B.The combinations of two assets can never have more risk than that found on a straight line connecting the two assets in expected return standard deviation space.
C.The combinations of two assets, assuming no short selling, can never have less risk than the least risky asset in the portfolio.
D.When two assets are combined in a portfolio, there always exists a simple expression for finding the minimum variance portfolio.
答案
C
解析
The combinations of two assets, assuming no short selling, can have less riskthan the least risky asset in the portfolio.For example, if sigma(a) = 10% and sigma(b) = 20%, then any correlation less than 0.5 allows for portfolios with volatility less than 10%, without short selling; e.g., at rho = 0.1, the minimum variance portfolio occurs at 82.6% invested in asset(a) for a portfolio volatility of 9.28%.假设没有卖空，则两种资产的组合所具有的风险要小于投资组合中风险最小的资产。例如，如果sigma（a）= 10％和sigma（b）= 20％，则任何小于0.5的相关性都允许投资组合的波动率小于10％，而不需要卖空； 例如，在rho = 0.1时，最小方差投资组合出现在投资于资产（a）的82.6％时，投资组合波动率为9.28％。