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lion · 2023年05月11日

求解释

NO.PZ2022070603000012

问题如下:

A wealth manager is calculating the beta of a portfolio of large-cap industrial company stocks. The manager determines that the correlation between the return of the portfolio and the return of its benchmark is 0.8, the volatility of portfolio returns is 5%, and the volatility of the benchmark is 4%. What is the beta of the portfolio with respect to its benchmark?

选项:

A.

-1.00

B.

0.64

C.

0.80

D.

1.00

解释:

中文解析:

D正确。β计算如下:

β = ρ * σ(portfolio) / σ(benchmark) = 0.8 * 0.05 / 0.04 = 1.00

ρ表示相关系数,σ表示波动率(标准差)。

---------------------------------------------------------------------------------------------

D is correct. The following equation is used to calculate beta:

β = ρ * σ(portfolio) / σ(benchmark) = 0.8 * 0.05 / 0.04 = 1.00

Where ρ represents the correlation coefficient and σ the volatility.

这是哪个考点????

1 个答案

品职答疑小助手雍 · 2023年05月12日

同学你好,这不就是最基础的求一元回归系数么 ,y=a+bx里面,b=ρ*σy/σx

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