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智茵同学 · 2024年05月14日

关于show your caculation的回答

NO.PZ2022123002000004

问题如下:

At his next meeting with Slifer, Tubduhl proposes adding Chinese equities to the portfolio. The expected return on Chinese equities is 14.0% with an expected standard deviation of 23.5% (both in local currency). The expected standard deviation of the U.S. dollar/Chinese yuan exchange rate is 6.0% and the predicted correlation between Chinese equity returns in local currency and exchange rate movements is 0.2.

Calculate the risk of Slifer’s investment in Chinese equities measured in U.S. dollar terms. Show your calculations. (2010 Q5)

选项:

解释:

Correct Answer:

The risk of an investment in Chinese equities measured in U.S. Dollar terms is measured by the standard deviation of returns, 25.4%.

This is calculated as follows:

The variance of the returns on foreign asset in U.S. Dollar terms = variance of foreign asset in local currency + Variance of the exchange rate + (2 × correlation between Foreign asset return and exchange rate movement × standard deviation of foreign asset in local currency × standard deviation of the exchange rate)

As given in the problem:

The standard deviation of Chinese equities (in Yuan) = 23.5%

The standard deviation of U.S. Dollar/Chinese Yuan exchange rate = 6%

The correlation between foreign asset return and exchange rate movement = 0.2

Therefore, the variance = (23.5%)2 + (6%)2 + (2 × 0.2 × 23.5% × 6%) = 644.7%2 and the Standard deviation = 25.4%.


show your caculation这样回答可以吗?开根号,平方,这些用键盘应该怎样打出来?另外这题show your calculation的要点是什么?

1 个答案

pzqa31 · 2024年05月14日

嗨,努力学习的PZer你好:


协会机考系统有那个公式编辑器,可以在里面挑选合适的符号。这类题目就是要展示计算过程,考公式计算。


关于机考软件可以在官网找到看一下哈,如下:

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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