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Krystal · 2023年11月04日

老师,需要计算步骤

NO.PZ2022081802000032

问题如下:

Question Consider a portfolio with two assets. Asset A comprises 25% of the portfolio and has a standard deviation of 17.9%. Asset B comprises 75% of the portfolio and has a standard deviation of 6.2%. If the correlation of these two investments is 0.5, the portfolio standard deviation is closest to:

选项:

A.6.45%. B.7.90%. C.9.13%.

解释:

Solution

B is correct. The standard deviation of a two-asset portfolio is given by the square root of the portfolio’s variance:

σ p = w 1 2 σ 1 2 + w 2 2 σ 2 2 +2 w 1 w 2 ρ 1,2 σ 1 σ 2

Using this formula, the existing standard deviation is calculated as follows:

0.25 2 × 0.179 2 + 0.75 2 × 0.062 2 +2×0.75×0.25×0.5×0.179×0.062 =7.90%

A is incorrect because it leaves off the correlation term in the equation:

0.25 2 × 0.179 2 + 0.75 2 × 0.062 2 =6.45%

C is incorrect because it is the weighted average standard deviation of the two assets given: (0.25 × 0.179 + 0.75 × 0.062) = 9.125%.

Portfolio Risk and Return: Part I

我计算了很多遍结果是43%啊

Krystal · 2023年11月04日

老师不用解答了,我把correlation理解成了cov,谢谢

1 个答案

Kiko_品职助教 · 2023年11月06日

嗨,从没放弃的小努力你好:


好的~

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