NO.PZ2021062201000003
问题如下:
A two-stock portfolio includes stocks with the following characteristics:
What is the standard deviation of portfolio returns?
选项:
A.
14.91%
B.
18.56%
C.
21.10%
解释:
B is correct. The covariance between the returns for the two stocks is
Cov (R1,R2) = ρ (R1,R2) σ (R1) σ(R2) = 0.20 (12) (25) = 60.
The portfolio variance is:
=(0.30)2(12)2+(0.7)2(25)2+2(0.30)(0.70)(60)
=12.96 +306.25 +25.2
=344.41
The portfolio standard deviation is:
知识点:Probability Concepts
现在碰到好几种求方差的题型:最常规的就是基于历史数据直接求得算数平均,也可以根据概率求加权平均,或者像本题一样用公式计算。请问这道题为什么不能用概率求加权平均呢,然后怎么样根据题目选择合适的方法计算方差,老师可不可以分别举一下例子,谢谢!