这是哪个公式啊

NO.PZ2018070201000062

问题如下：

Laurel, an manager from an investment company, recently constructs the following portfolio, assuming that the two assets are not relevant, what is the expected standard deviation if the two assets are equal-weighted:

选项：

8.00%.

10.00%.

12.00%.

解释：

Each stock contains the same weight in the equal-weighted portfolio, so $ω_{1} = ω_{2} = 0.5$

$σ_{p o r t} = \sqrt{{ω_{1}}^{2} {σ_{1}}^{2} + {ω_{2}}^{2} {σ_{2}}^{2} + 2 \cdot ω_{1} ω_{2} \cdot ρ \cdot σ_{1} σ_{2}} = \sqrt{(0.5)^{2} (16 %)^{2} + (0.5)^{2} (12 %)^{2} + 2 \times 0.5 \times 0.5 \times 0 \times 16 % \times 12 %} = 10 %$

不是=w1^2SIGMA1^2+W2^2SIgMA^2+2w1w2sigma1sigma2P12吗

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Kiko_品职助教 · 2022年08月16日

嗨，爱思考的PZer你好：

是的。最后不要忘记开根号。问的是 standard deviation

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NO.PZ2018070201000062 问题如下 Laurel, manager from investment company, recently constructs the following portfolio, assuming ththe two assets are not relevant, whis the expectestanrviation if the two assets are equal-weighte A.8.00%. B.10.00%. C.12.00%. Eastocontains the same weight in the equal-weighteportfolio, so ω1=ω2=0.5 σport=ω12σ12+ω22σ22+2·ω1ω2·ρ·σ1σ2=(0.5)2(16%)2+(0.5)2(12%)2+2×0.5×0.5×0×16%×12%=10% 这道题correlation/covariance为什么用了0？题干说not relevant，not relevant不应该是-1吗？完全不相关？前面有道题也说了“当相关系数为0的时候，可以构建一个零方差组合。是不对的，只有当相关系数为-1的时候，也就是他们完全负相关，构建的投资组合才是零方差的。”

2022-09-29 01:34 1 · 回答

2022-04-27 19:15 1 · 回答

10.00%. 12.00%. Eastocontains the same weight in the equal-weighteportfolio, so ω1=ω2=0.5 σport=ω12σ12+ω22σ22+2·ω1ω2·ρ·σ1σ2=(0.5)2(16%)2+(0.5)2(12%)2+2×0.5×0.5×0×16%×12%=10% 不太明白这道题怎么做cov同等权重在这里怎么理解？

2020-05-12 15:47 2 · 回答

10.00%. 12.00%. Eastocontains the same weight in the equal-weighteportfolio, so ω1=ω2=0.5 σport=ω12σ12+ω22σ22+2·ω1ω2·ρ·σ1σ2=(0.5)2(16%)2+(0.5)2(12%)2+2×0.5×0.5×0×16%×12%=10% 为什么equally weighte个体标准差还不一样呢？

2020-01-28 17:06 1 · 回答

这是哪个公式啊

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