NO.PZ2015121801000061
问题如下:
A portfolio manager creates the following portfolio:
If the correlation of returns between the two securities is −0.15, the expected standard deviation of an equal-weighted portfolio is closest to:
选项:
A.
13.04%.
B.
13.60%.
C.
13.87%.
解释:
A is correct.
lσport=w12σ12+w22σ22+2w1w2ρ1,2σ1σ2=(0.5)2(20%)2+(0.5)2(20%)2+2(0.5)(0.5)(−0.15)(20%)(20%)=(1.0000%+1.0000%−0.3000%)0.5=(1.7000%)0.5=13.04%
为什么记得之前计算的时候都没有乘过权重啊,什么时候需要✖️什么时候不乘权重a