NO.PZ2015121801000044
问题如下:
A portfolio manager creates the following portfolio:
If the standard deviation of the portfolio is 14.40%, the covariance between the two securities is equal to:
选项:
A.0.0006.
B.0.0240.
C.1.0000.
解释:
B is correct.
A portfolio standard deviation of 14.40% is the weighted average, which is possible only if the correlation between the securities is equal to 1.0. If the correlation coefficient is equal to 1.0,then the covariance must equal 0.0240, calculated as:
=(1.0)(20%)(12%)=2.40%=0.0240.
我用了,(w+σ)^2+(w+σ)^2+2w1w2σ1σ2 cov这个公式反推不出来,算出来的结果是0.9901