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Helen 🎈 · 2022年11月18日

step2的公式在哪里？

  1. CFA I
  2. Quantitative

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：

σ2Rp=w12σ2(R1)+w22σ2(R2)+2w1w2Cov(R1,R2){\sigma ^2}{R_p} = w_1^2{\sigma ^2}({R_1}) + w_2^2{\sigma ^2}({R_2}) + 2{w_1}{w_2}Cov({R_1},{R_2})

=(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：

σ2(RP)=344.411/2=18.56%{\sigma ^2}({R_P}) = {344.41^{1/2}} = 18.56\%

知识点：Probability Concepts

白学了。。。想知道step2的公式在哪里

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1 个答案

星星_品职助教 · 2022年11月18日

同学你好，

第二个步骤是求两资产组合的方差公式，如果忘了可以复习一下对应视频，有问题也可以提问。

考前能记住就可以了。这个公式在组合中还会有应用，用多了自然就熟了，不会忘记的~


1）公式在视频中的位置：

2）课程位置：

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