问题如下图:
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老师,Expected return 里面得0.12是怎么求出来得?
NO.PZ2015121802000031 问题如下 portfolio is constructe65% on risky assets with expectereturn of 12% anstanrviation of 10.15%, an35% on risk-free assets with a 3% return. Whis the expectereturn anstanrviation of his portfolio? ExpectereturnStanrviation A.6.25%5.56% B.8.85%6.60% C.10.25%8.90% B is correct.Expectereturn: (0.65 x 0.12) + (0.35 x 0.03) = 0.0885, or 8.85%.Stanrviation: 0.65 x 0.1015 = 0.0660, or 6.60%.
NO.PZ2015121802000031 问题如下 portfolio is constructe65% on risky assets with expectereturn of 12% anstanrviation of 10.15%, an35% on risk-free assets with a 3% return. Whis the expectereturn anstanrviation of his portfolio? ExpectereturnStanrviation A.6.25%5.56% B.8.85%6.60% C.10.25%8.90% B is correct.Expectereturn: (0.65 x 0.12) + (0.35 x 0.03) = 0.0885, or 8.85%.Stanrviation: 0.65 x 0.1015 = 0.0660, or 6.60%. 老师,这个是用CML的公式吗?我代入方程之后有两个未知数,求不出来
Stanrviation: 0.65 x 0.1015不明白,为何要如此计算?
无风险资产的标准差未给出,默认为零?组合标准差答案给出的解法不是很理解,麻烦老师一下。
请问老师求标准差,还需要再乘以65%的权重?题干中不是已经给了标准差是10.15%了?不太明白