⑴ 大学金融学习题
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⑵ 金融学中关于统计的习题
No. He is wrong.
What is the probability for the expansion, normal and recession in next year? If you have the probability, we would calculate the risk of the portfolio.
Currently, I could only know the return of Alpha, Beta and Gamma is that
Expansion Normal Recession
A 8 4 -4
B 0 -1.5 -2.5
G 3 1.5 -1.5
Beta has the alternative trend compared with Alpha, while Gamma has the same trend. Therefore, whatever the market trend will be, Gamma will not help rece the risk of the portfolio. Thus, Gamma will not help achieve better diversification.