Nickyan · 2023年07月28日
NO.PZ2021062201000003
问题如下：
A two-stock portfolio includes stocks with the following characteristics:
What is the standard deviation of portfolio returns？
选项：
A.14.91%
B.18.56%
C.21.10%
解释：
B is correct. The covariance between the returns for the two stocks is
Cov (R1,R2) = ρ (R1,R2) σ (R1) σ(R2) = 0.20 (12) (25) = 60.
The portfolio variance is：
=(0.30)2(12)2+(0.7)2(25)2+2(0.30)(0.70)(60)
=12.96 +306.25 +25.2
=344.41
The portfolio standard deviation is：
知识点：Probability Concepts
如上
NO.PZ2021062201000003 问题如下 A two-stoportfolio inclus stocks with the following characteristics: Whis the stanrviation of portfolio returns？ A.14.91% B.18.56% C.21.10% B is correct. The covarianbetween the returns for the two stocks isCov (R1,R2) = ρ (R1,R2) σ (R1) σ(R2) = 0.20 (12) (25) = 60. The portfolio varianisσ2Rp=w12σ2(R1)+w22σ2(R2)+2w1w2Cov(R1,R2){\sigma ^2}{R_p} = w_1^2{\sigma ^2}({R_1}) + w_2^2{\sigma ^2}({R_2}) + 2{w_1}{w_2}Cov({R_1},{R_2})σ2Rp=w12σ2(R1)+w22σ2(R2)+2w1w2Cov(R1,R2)=(0.30)2(12)2+(0.7)2(25)2+2(0.30)(0.70)(60)=12.96 +306.25 +25.2=344.41The portfolio stanrviation isσ2(RP)=344.411/2=18.56%{\sigma ^2}({R_P}) = {344.41^{1/2}} = 18.56\%σ2(RP)=344.411/2=18.56% 知识点Probability Concepts 还是在portfolio里如果有AB两个产品的情况下，AB的covaraince就是portfolio的variance
NO.PZ2021062201000003 问题如下 A two-stoportfolio inclus stocks with the following characteristics: Whis the stanrviation of portfolio returns？ A.14.91% B.18.56% C.21.10% B is correct. The covarianbetween the returns for the two stocks isCov (R1,R2) = ρ (R1,R2) σ (R1) σ(R2) = 0.20 (12) (25) = 60. The portfolio varianisσ2Rp=w12σ2(R1)+w22σ2(R2)+2w1w2Cov(R1,R2){\sigma ^2}{R_p} = w_1^2{\sigma ^2}({R_1}) + w_2^2{\sigma ^2}({R_2}) + 2{w_1}{w_2}Cov({R_1},{R_2})σ2Rp=w12σ2(R1)+w22σ2(R2)+2w1w2Cov(R1,R2)=(0.30)2(12)2+(0.7)2(25)2+2(0.30)(0.70)(60)=12.96 +306.25 +25.2=344.41The portfolio stanrviation isσ2(RP)=344.411/2=18.56%{\sigma ^2}({R_P}) = {344.41^{1/2}} = 18.56\%σ2(RP)=344.411/2=18.56% 知识点Probability Concepts 麻烦详细讲讲COV（R1，R2）的计算过程，谢谢
NO.PZ2021062201000003 问题如下 A two-stoportfolio inclus stocks with the following characteristics: Whis the stanrviation of portfolio returns？ A.14.91% B.18.56% C.21.10% B is correct. The covarianbetween the returns for the two stocks isCov (R1,R2) = ρ (R1,R2) σ (R1) σ(R2) = 0.20 (12) (25) = 60. The portfolio varianisσ2Rp=w12σ2(R1)+w22σ2(R2)+2w1w2Cov(R1,R2){\sigma ^2}{R_p} = w_1^2{\sigma ^2}({R_1}) + w_2^2{\sigma ^2}({R_2}) + 2{w_1}{w_2}Cov({R_1},{R_2})σ2Rp=w12σ2(R1)+w22σ2(R2)+2w1w2Cov(R1,R2)=(0.30)2(12)2+(0.7)2(25)2+2(0.30)(0.70)(60)=12.96 +306.25 +25.2=344.41The portfolio stanrviation isσ2(RP)=344.411/2=18.56%{\sigma ^2}({R_P}) = {344.41^{1/2}} = 18.56\%σ2(RP)=344.411/2=18.56% 知识点Probability Concepts 我有点迷糊CV和COV的区别，可以麻烦下吗？
NO.PZ2021062201000003 问题如下 A two-stoportfolio inclus stocks with the following characteristics: Whis the stanrviation of portfolio returns？ A.14.91% B.18.56% C.21.10% B is correct. The covarianbetween the returns for the two stocks isCov (R1,R2) = ρ (R1,R2) σ (R1) σ(R2) = 0.20 (12) (25) = 60. The portfolio varianisσ2Rp=w12σ2(R1)+w22σ2(R2)+2w1w2Cov(R1,R2){\sigma ^2}{R_p} = w_1^2{\sigma ^2}({R_1}) + w_2^2{\sigma ^2}({R_2}) + 2{w_1}{w_2}Cov({R_1},{R_2})σ2Rp=w12σ2(R1)+w22σ2(R2)+2w1w2Cov(R1,R2)=(0.30)2(12)2+(0.7)2(25)2+2(0.30)(0.70)(60)=12.96 +306.25 +25.2=344.41The portfolio stanrviation isσ2(RP)=344.411/2=18.56%{\sigma ^2}({R_P}) = {344.41^{1/2}} = 18.56\%σ2(RP)=344.411/2=18.56% 知识点Probability Concepts COV为什么是这样算的？跟视频里老师讲的不一样啊
