津同學(xué)
2025-12-10 16:28高度相關(guān)為什么不選互斥的B，而選分散化的A？
所屬：CFA Level III > Asset Allocation and Related Decisions in Portfolio Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Vincent助教
2025-12-11 09:09
該回答已被題主采納
你好
在定義資產(chǎn)大類的標(biāo)準(zhǔn)里，互斥和分散化對應(yīng)不同的情況，互斥是針對出現(xiàn)了兩類資產(chǎn)定義包含了同一種資產(chǎn)，分散化是針對兩類資產(chǎn)高度相關(guān)。
2. Asset classes should be mutually exclusive; overlapping asset classes will reduce the effectiveness of strategic asset allocation; E.g. US equity vs. global equity
3. Asset classes should be diversifying; should not have extremely high expected correlations with other asset classes or with a linear combination of other asset classes (ρ≤0.95).
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