zzzz不歪 · 2023年02月04日
NO.PZ2021062201000004
问题如下：
Lena Hunziger has designed the three-asset portfolio summarized below：
Hunziger estimated the portfolio return to be 6.3%. What is the portfolio standard deviation?
选项：
A.
13.07%
B.
13.88%
C.
14.62%
解释：
C is correct. For a three-asset portfolio, the portfolio variance is：
=(0.20)2(196) + (0.30)2(225) + (0.50)2(400) + 2(0.20)(0.30)(105) + (2)(0.20)(0.50)(140) + (2)(0.30)(0.50)(150)
=7.84 + 20.25 + 100 + 12.6+ 28 +45
=213.69
知识点：Probability Concepts
6.3%在计算中是不是没用到
NO.PZ2021062201000004 问题如下 Lena Hunziger hsignethe three-asset portfolio summarizebelowHunziger estimatethe portfolio return to 6.3%. Whis the portfolio stanrviation? A.13.07% B.13.88% C.14.62% C is correct. For a three-asset portfolio, the portfolio varianisσ2Rp=w12σ2(R1)+w22σ2(R2)+w32σ2(R3)+2w1w2Cov(R1,R2)+2w1w3Cov(R1,R3)+2w2w3Cov(R2,R3){\sigma ^2}{R_p} = w_1^2{\sigma ^2}({R_1}) + w_2^2{\sigma ^2}({R_2}) + w_3^2{\sigma ^2}({R_3}) + 2{w_1}{w_2}Cov({R_1},{R_2}) + 2{w_1}{w_3}Cov({R_1},{R_3}) + 2{w_2}{w_3}Cov({R_2},{R_3})σ2Rp=w12σ2(R1)+w22σ2(R2)+w32σ2(R3)+2w1w2Cov(R1,R2)+2w1w3Cov(R1,R3)+2w2w3Cov(R2,R3)=(0.20)2(196) + (0.30)2(225) + (0.50)2(400) + 2(0.20)(0.30)(105) + (2)(0.20)(0.50)(140) + (2)(0.30)(0.50)(150)=7.84 + 20.25 + 100 + 12.6+ 28 +45 =213.69 知识点Probability Concepts 所以variance-covarianmatrix的意思就是两两协方差/方差的值吗
NO.PZ2021062201000004 问题如下 Lena Hunziger hsignethe three-asset portfolio summarizebelowHunziger estimatethe portfolio return to 6.3%. Whis the portfolio stanrviation? A.13.07% B.13.88% C.14.62% C is correct. For a three-asset portfolio, the portfolio varianisσ2Rp=w12σ2(R1)+w22σ2(R2)+w32σ2(R3)+2w1w2Cov(R1,R2)+2w1w3Cov(R1,R3)+2w2w3Cov(R2,R3){\sigma ^2}{R_p} = w_1^2{\sigma ^2}({R_1}) + w_2^2{\sigma ^2}({R_2}) + w_3^2{\sigma ^2}({R_3}) + 2{w_1}{w_2}Cov({R_1},{R_2}) + 2{w_1}{w_3}Cov({R_1},{R_3}) + 2{w_2}{w_3}Cov({R_2},{R_3})σ2Rp=w12σ2(R1)+w22σ2(R2)+w32σ2(R3)+2w1w2Cov(R1,R2)+2w1w3Cov(R1,R3)+2w2w3Cov(R2,R3)=(0.20)2(196) + (0.30)2(225) + (0.50)2(400) + 2(0.20)(0.30)(105) + (2)(0.20)(0.50)(140) + (2)(0.30)(0.50)(150)=7.84 + 20.25 + 100 + 12.6+ 28 +45 =213.69 知识点Probability Concepts 我好像沒有學過這條公式的感覺
NO.PZ2021062201000004 问题如下 Lena Hunziger hsignethe three-asset portfolio summarizebelowHunziger estimatethe portfolio return to 6.3%. Whis the portfolio stanrviation? A.13.07% B.13.88% C.14.62% C is correct. For a three-asset portfolio, the portfolio varianisσ2Rp=w12σ2(R1)+w22σ2(R2)+w32σ2(R3)+2w1w2Cov(R1,R2)+2w1w3Cov(R1,R3)+2w2w3Cov(R2,R3){\sigma ^2}{R_p} = w_1^2{\sigma ^2}({R_1}) + w_2^2{\sigma ^2}({R_2}) + w_3^2{\sigma ^2}({R_3}) + 2{w_1}{w_2}Cov({R_1},{R_2}) + 2{w_1}{w_3}Cov({R_1},{R_3}) + 2{w_2}{w_3}Cov({R_2},{R_3})σ2Rp=w12σ2(R1)+w22σ2(R2)+w32σ2(R3)+2w1w2Cov(R1,R2)+2w1w3Cov(R1,R3)+2w2w3Cov(R2,R3)=(0.20)2(196) + (0.30)2(225) + (0.50)2(400) + 2(0.20)(0.30)(105) + (2)(0.20)(0.50)(140) + (2)(0.30)(0.50)(150)=7.84 + 20.25 + 100 + 12.6+ 28 +45 =213.69 知识点Probability Concepts 看解答还是不是很清晰
NO.PZ2021062201000004 问题如下 Lena Hunziger hsignethe three-asset portfolio summarizebelowHunziger estimatethe portfolio return to 6.3%. Whis the portfolio stanrviation? A.13.07% B.13.88% C.14.62% C is correct. For a three-asset portfolio, the portfolio varianisσ2Rp=w12σ2(R1)+w22σ2(R2)+w32σ2(R3)+2w1w2Cov(R1,R2)+2w1w2Cov(R1,R3)+2w1w2Cov(R2,R3){\sigma ^2}{R_p} = w_1^2{\sigma ^2}({R_1}) + w_2^2{\sigma ^2}({R_2}) + w_3^2{\sigma ^2}({R_3}) + 2{w_1}{w_2}Cov({R_1},{R_2}) + 2{w_1}{w_2}Cov({R_1},{R_3}) + 2{w_1}{w_2}Cov({R_2},{R_3})σ2Rp=w12σ2(R1)+w22σ2(R2)+w32σ2(R3)+2w1w2Cov(R1,R2)+2w1w2Cov(R1,R3)+2w1w2Cov(R2,R3)=(0.20)2(196) + (0.30)2(225) + (0.50)2(400) + 2(0.20)(0.30)(105) + (2)(0.20(0.50)(140) + (2)(0.30)(0.50)(150)=7.84 + 20.25 + 100 + 12.6+ 28 +45 =213.69 知识点Probability Concepts 为什么这里没有平方？
