- CFA Exams
- CFA Level I Exam
- Study Session 18. Portfolio Management (1)
- Reading 52. Portfolio Risk and Return: Part I
- Subject 5. Portfolio Risk
CFA Practice Question
A two-asset portfolio with a standard deviation of zero can be formed when the assets have a correlation coefficient equal to ______.
A. zero
B. one
C. negative one
Explanation: In this case the two assets move in opposite directions 100% of the time.
User Contributed Comments 2
| User | Comment |
|---|---|
| ksnider | could someone explain this? |
| sagrr | correlation coefficient equal to -1 would mean everytime A went up by 4, B goes down by -4. ... no risk |