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