问一道题：NO.PZ2016070202000020 [ FRM II ]

NO.PZ2016070202000020 问题如下 You are given the following information about the returns of stoP anstoQ: varianof return of stoP=100； varianof return of stoQ=225; covarianbetween the return of stoP anthe return of stoQ=53.2. the enof 1999, you are holng US4 million in stoP. You are consiring a strategy of shifting US1 million into stoQ ankeeping US3 million in stoP. Whpercentage of risk, measurestanrviation of return, crecethis strategy? A.0.5% B.5.0% C.7.4% 9.7% The varianof the originportfolio is 1,600, implying a volatility of 40. The new portfolio hvarianof 32 ×100+12 ×225+2×53.2×3×1=1,444. This gives a volatility of 38, whiis a rection of 5%. 我直接用权重，算出组合1的标准差是10，组合2的标准差是9.5，然后就（10-9.5）/10=5%这样吗

NO.PZ2016070202000020

NO.PZ2016070202000020 老师不理解组合的variance为什么算出来是1600，以及调整过后为什么是1440，P的头寸挪走了1m，剩下3m，3 就可以直接平方代替权重吗？

NO.PZ2016070202000020 5.0% 7.4% 9.7% The varianof the originportfolio is 1,600, implying a volatility of 40. The new portfolio hvarianof ;32×100+12×225+2×53.2×3×1=1,444;3^2\times100+1^2\times225+2\times53.2\times3\times1=1,444;32×100+12×225+2×53.2×3×1=1,444. This gives a volatility of 38, whiis a rection of 5%. 是直接资产价值4的平方×100吗

NO.PZ2016070202000020 老师你好，这样算出的结果选D