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????