可以讲解下计算器按键过程吗？

NO.PZ2022081802000022

问题如下：

An analyst has made the following return projections for each of three possible outcomes with an equal likelihood of occurrence:

If the analyst constructs two-asset portfolios that are equally-weighted, which pair of assets has the lowest expected standard deviation?

选项：

A.Asset 1 and Asset 2.

B.Asset 1 and Asset 3.

C.Asset 2 and Asset 3.

解释：

Solution

C is correct. An equally weighted portfolio of Asset 2 and Asset 3 will have the lowest portfolio standard deviation, because for each outcome, the portfolio has the same expected return (they are perfectly negatively correlated).

详细步骤不会用计算器算这题

添加评论

1 个答案

Kiko_品职助教 · 2023年05月05日

嗨，爱思考的PZer你好：

以C选项计算 2和3资产的correlation为例，我们看的就是横向倒数两行的数据。最后两行数据说明：当2收益率为12%时，3为0%；当2收益率为6%时，3也为6%；当2收益率为0%时，3为12%；当2收益率为6%时，C也为6%；

所以计算器输入方式如下：

[2nd][7]进入data模式，依次输入X01=12，Y01=0；X02=6，Y02=6；X03=0，Y03=12；X04=6，Y04=6，

然后[2nd][8]进入STAT模式，一直按下箭头，直到屏幕出现r=，算出来是-1。说明两组数据的相关性=-1。

以此类推，AB一样步骤计算。

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

添加评论

1
回答
0
关注
403
浏览

我要回答关注问题

相关问题

NO.PZ2022081802000022 问题如下 analyst hma the following return projections for eaof three possible outcomes with equlikelihooof occurrence:If the analyst constructs two-asset portfolios thare equally-weighte whipair of assets hthe lowest expectestanrviation? A.Asset 1 anAsset 2. B.Asset 1 anAsset 3. C.Asset 2 anAsset 3. SolutionC is correct. equally weighteportfolio of Asset 2 anAsset 3 will have the lowest portfolio stanrviation, because for eaoutcome, the portfolio hthe same expectereturn (they are perfectly negatively correlate. 这道题到底是算Covariance还是correlation

2023-02-04 22:34 1 · 回答

可以讲解下计算器按键过程吗？

1 个答案

1

0

403

相关问题