问题
单项选择题
Given the following correlation matrix, a risk-averse investor would least prefer which of the following two-stock portfolios (all else the same)
A．Stock
B．A
C．B
D．C
E．D
F．A
G．+1
H．
I．
J．
K．B
L．-0.2
M．+1
N．
O．
P．C
Q．+0.6
R．-0.1
S．+1
T．
U．D
V．+0.8
W．-0.3
X．+0.5
Y．+0
答案
参考答案：A
解析：A risk-averse investor prefers less risk to more risk. The lower the correlation, the greater the risk reduction. Thus, a risk-averse investor would most prefer the portfolio with the lowest correlation coefficient and least prefer the one with the highest. Of the choices given, A and C’s correlation coefficient of +0.6 is the highest.