156****1305
2020-11-24 16:35請問為什么說Increasing the sector diversification of the portfolio would increase the degree of cross- correlation of the portfolio(模考2),然后課后題說The correlation of two stocks in different sectors is most likely lower than the correlation of two stocks in the same sector呢?這兩個不矛盾嗎?
所屬:CFA Level III > Equity Portfolio Management 視頻位置 相關試題
來源: 視頻位置 相關試題
1個回答
開開助教
2020-11-24 17:33
該回答已被題主采納
同學你好,在sector diverdification之前,portfolio是集中押注某些sectors的,是很不均衡的, 不同sector之間的的股票correlation較低。這少數的幾個sector它們整體的cross-correlation要比,sector 充分diverdification之后,持倉的cross-correlation會提升。
