NO.PZ2015121801000062
问题如下:
A portfolio manager creates the following portfolio:
If the two securities are uncorrelated, the expected standard deviation of an equal-weighted portfolio is closest to:
选项:
A.
14.00%.
B.
14.14%.
C.
20.00%.
解释:
B is correct.
lσport=w12σ12+w22σ22+2w1w2ρ1,2σ1σ2=(0.5)2(20%)2+(0.5)2(20%)2+2(0.5)(0.5)(0.00)(20%)(20%)=(1.0000%+1.0000%+0.0000%)0.5=(2.0000%)0.5=14.14%
为何不能用50%*16%+50%*12%算出A选项,错在哪里?uncorrelated一定说明相关系数=0嘛?