问题如下图:
这个用何老推到的公式算出来怎么感觉不太对 求指导
选项:
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解释:
NO.PZ2015121801000061问题如下A portfolio manager creates the following portfolio:If the correlation of returns between the two securities is −0.15, the expectestanrviation of equal-weighteportfolio is closest to:A.13.04%.B.13.60%.C.13.87%.is correct.lσport=w12σ12+w22σ22+2w1w2ρ1,2σ1σ2=(0.5)2(20%)2+(0.5)2(20%)2+2(0.5)(0.5)(−0.15)(20%)(20%)=(1.0000%+1.0000%−0.3000%)0.5=(1.7000%)0.5=13.04%{l}{\sigma _{port}} = \sqrt {w_1^2\sigma _1^2 + w_2^2\sigma _2^2 + 2{w_1}{w_2}{\rho _{1,2}}{\sigma _1}{\sigma _2}} \\ = \sqrt {{{(0.5)}^2}{{(20\% )}^2} + {{(0.5)}^2}{{(20\% )}^2} + 2(0.5)(0.5)( - 0.15)(20\% )(20\% )} \\ = {(1.0000\% + 1.0000\% - 0.3000\% )^{0.5}} = {(1.7000\% )^{0.5}} = 13.04\% lσport=w12σ12+w22σ22+2w1w2ρ1,2σ1σ2=(0.5)2(20%)2+(0.5)2(20%)2+2(0.5)(0.5)(−0.15)(20%)(20%)=(1.0000%+1.0000%−0.3000%)0.5=(1.7000%)0.5=13.04%为什么记得之前计算的时候都没有乘过权重啊,什么时候需要✖️什么时候不乘权重a
NO.PZ2015121801000061 权重0.5是怎么算出来的?
NO.PZ2015121801000061 本题解析中的weight的数值,是因为题目说equweighte 又是只有两支股票,所以一半一半取的0.5吗?以及到底什么是权重呢?权重是怎么计算的呢?权重跟股价和shares之间的关系是什么呢?谢谢老师
NO.PZ2015121801000061 13.60%. 13.87%. A is correct. lσport=w12σ12+w22σ22+2w1w2ρ1,2σ1σ2=(0.5)2(20%)2+(0.5)2(20%)2+2(0.5)(0.5)(−0.15)(20%)(20%)=(1.0000%+1.0000%−0.3000%)0.5=(1.7000%)0.5=13.04%{l}{\sigma _{port}} = \sqrt {w_1^2\sigma _1^2 + w_2^2\sigma _2^2 + 2{w_1}{w_2}{\rho _{1,2}}{\sigma _1}{\sigma _2}} \\ = \sqrt {{{(0.5)}^2}{{(20\% )}^2} + {{(0.5)}^2}{{(20\% )}^2} + 2(0.5)(0.5)( - 0.15)(20\% )(20\% )} \\ = {(1.0000\% + 1.0000\% - 0.3000\% )^{0.5}} = {(1.7000\% )^{0.5}} = 13.04\% lσport=w12σ12+w22σ22+2w1w2ρ1,2σ1σ2 =(0.5)2(20%)2+(0.5)2(20%)2+2(0.5)(0.5)(−0.15)(20%)(20%) =(1.0000%+1.0000%−0.3000%)0.5=(1.7000%)0.5=13.04%snow666_6 · 2分钟前这道题我也是用了上面的公式,结果不对, 0.5*0.2*0.2+0.2*0.2*(-0.15)=0.014开根号,和结果不一样呢
题目中说 equal-weighteportfolio ,为什么不用下面图中的式子计算?