有A、B、C三种投资产品，其收益的相关系数如下：
| A | B | C | |
| A | 1 | ||
| B | 0.1 | 1 | |
| C | 0.8 | -0.8 | 1 |
A．B、C组合是风险最佳对冲组合
B．A、C组合风险最小
C．A、B组合风险最小
D．A、C组合风险最分散
参考答案：A
解析： A、C的组合提到两次，一般来说组合最分散，风险也最小，事实上，A、C组合的风险最大，因为它们的相关性很高。另外B、C是负相关的，一个出现风险，另一个就不会有风险，因此可以构建对冲组合，B、C组合的风险最小，最分散。A、B组合存在正相关，一个有风险，另一个也会有风险，所以不会是风险最小组合。如果考生再遇到这种风险相关的题目时，先看正负号，负相关说明两者可以风险相抵，这种组合最佳，其次再看数字大小，数字越小如两者相关系数为-1，则说明两者可以完全对冲，风险分散效果好，如果相关系数越大，如为1，则说明两者完全相关，组合风险反而更大。
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| Mr. Smith lives in the country, but he works in an office in a big city. He 1 to work by train every morning and comes 2 the same way. One morning while Mr Smith was 3 his newspaper on the train,a man sitting behind him tapped (轻拍) him on the shoulder (肩膀). The man said 4 to him and began to talk to him. The man said, "Your life is interesting, 5 it? You take the same station at the same time 6 morning, and you always sit in the 7 seat and read the same newspaper." When Mr. Smith 8 this. he put his newspaper down, turned back and said to the man angrily, " 9 do you know all that about me!" "Well. I 10 sit in the same seat behind you." the man answered. | ||||
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