问题如下图：
选项：
A. 
B. 
C. 
D. 
解释：
老师你好，我的解题思路是建立方程s1=a+b*s2+c，那么b就是斜率也是hedge ratio，应该是-0.5吧。cov(s1,s2)/s2的方差
NO.PZ2016082404000017问题如下If two securities have the same volatility ana correlation equto -0.5 their minimum varianhee ratio is 1:1 2:1 4:1 16:1 ANSWER: BSet x the amount to invest in the seconsecurity, relative to thin the first (or the hee ratio). The varianis then proportionto 1+x2+2xρ1+x^2+2x\rho1+x2+2xρ. Taking the rivative ansetting to zero, we have x=−ρ=0.5x=-\rho=0.5x=−ρ=0.5. Thus, one security must have twithe amount in the other. Alternatively, the hee ratio is given N∗=−ρσSσFN\ast=-\rho\frac{\sigma_S}{\sigma_F}N∗=−ρσFσS whigives 0.5. Answer B is the only one this consistent with this number or its inverse.这道题前面一半式子列出来了，但是不知道为什么等号右边还有式子，hee的话varx+ay不应该＝0咩
NO.PZ2016082404000017 请问这里的x为什么等于-rho呢？
2:1 4:1 16:1 ANSWER: B Set x the amount to invest in the seconsecurity, relative to thin the first (or the hee ratio). The varianis then proportionto 1+x2+2xρ1+x^2+2x\rho1+x2+2xρ. Taking the rivative ansetting to zero, we have x=−ρ=0.5x=-\rho=0.5x=−ρ=0.5. Thus, one security must have twithe amount in the other. Alternatively, the hee ratio is given N∗=−ρσSσFN\ast=-\rho\frac{\sigma_S}{\sigma_F}N∗=−ρσFσS whigives 0.5. Answer B is the only one this consistent with this number or its inverse.老师，看了解析这题也没懂，可以一下吗？这题的hee ratio=0.5吗？
这题答案都看不懂。 老师的讲义中，都是用的线性回归来做Hee ration, 无法理解这里为什么会得到了个x的平方的方程。 我看了之前的答案，完全无法理解，求的更具体，谢谢。
我的问题 1 资产波动率是因为利率波动造成的债券价格的波动？也就是说方差的对象是profolio value? 2. 两个波动率相同，我们假设为v，那么 var(v+xv)表达的是什么
