NO.PZ2020021002000103
问题如下:
If σA = 20% and σB = 40% and a portfolio if formed with half the money invested in each stock, then σP must be
选项:
A.30%
between 10% and 40%
between 20% and 40%.
between 20% and 60%.
解释:
B. Between 10% and 40%
中文解析:
当两只股票相关系数为1的时候,组合的标准差最大:0.5*20% + 0.5*40% = 30%。
当两只股票的相关系数为-1的时候,组合的标准差最小:0.5*40%-0.5*20%=10%。
所以组合标准差的范围是[10%, 30%],选择B。
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