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lizzy233 · 2022年09月29日

No.PZ2018070201000062 (选择题)

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：

A.

8.00%.

B.

10.00%.

C.

12.00%.

解释：

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

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

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。”

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Kiko_品职助教 · 2022年09月29日

嗨，努力学习的PZer你好：

the two assets are not relevant，意思是不相关，代表correlation=0。而不是完全负相关，所以这道题构建的投资组合方差不是0啊。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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

2022-08-16 08:30 1 · 回答

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2022-04-27 19:15 1 · 回答

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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