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:
SolutionB is correct. The standard deviation of a two-asset portfolio is given by the square root of the portfolio’s variance:
Using this formula, the existing standard deviation is calculated as follows:
A is incorrect because it leaves off the correlation term in the equation:
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