请问方差协方差矩阵

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：

13.07%

13.88%

14.62%

解释：

C is correct. For a three-asset portfolio, the portfolio variance is：

${\sigma ^2}{R_p} = w_1^2{\sigma ^2}({R_1}) + w_2^2{\sigma ^2}({R_2}) + w_3^2{\sigma ^2}({R_3}) + 2{w_1}{w_2}Cov({R_1},{R_2}) + 2{w_1}{w_3}Cov({R_1},{R_3}) + 2{w_2}{w_3}Cov({R_2},{R_3})$

=(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-covariance matrix的意思就是两两协方差/方差的值吗

添加评论

1 个答案

星星_品职助教 · 2023年05月09日

同学你好，

是的。协方差矩阵的对角线是方差，其余的都是两两之间协方差。

添加评论

1
回答
1
关注
332
浏览

我要回答关注问题

相关问题

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

2023-03-04 05:11 1 · 回答

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 6.3%在计算中是不是没用到

2023-02-04 16:03 1 · 回答

2022-12-20 20:21 1 · 回答

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？

2022-10-02 18:45 1 · 回答

请问方差协方差矩阵

1 个答案

1

1

332

相关问题