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momo · 2023年08月13日

2

NO.PZ2015121801000043

问题如下:

A portfolio manager creates the following portfolio:

If the standard deviation of the portfolio is 14.40%, the correlation between the two securities is equal to:

选项:

A.

-1.0.

B.

0.0.

C.

1.0.

解释:

C  is correct.

A portfolio standard deviation of 14.40% is the weighted average, which is possible only if the correlation between the securities is equal to 1.0.

代入,0.3*0.2+0.7*0.12不等于0.144啊

1 个答案

Kiko_品职助教 · 2023年08月14日

嗨,努力学习的PZer你好:


啊?同学你要不再算算呢。我这边计算器按的是等于0.144

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虽然现在很辛苦,但努力过的感觉真的很好,加油!