单选题 Stocks A, B, and C each have the same expected return and standard deviation. The following table shows the correlations between the returns on these stocks.
Correlation of Stock Returns
Stock A
Stock B
Stock C
Stock A
+1.0
Stock B
+0.9
+1.0
Stock C
+0.1
-0.4
+1.0
Given the above correlations, the portfolio constructed from these stocks having the lowest risk is a portfolio :
  • A. equally invested in stocks A and B. B. equally invested in stocks A and C.
  • C. equally invested in stocks B and
  • C.
【正确答案】 C
【答案解析】Recall the general formula: [*] All three stocks have the same standard deviation, so you would pick the combination that has the lowest correlation coefficient: B and C.