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果儿 · 2020年02月21日

问一道题：NO.PZ2018070201000044

  1. CFA I
  2. Portfolio

问题如下：

What's the covariance between the two securities? Assuming the standard deviation of the portfolio is 27%.

选项：

A.

7%

B.

7.5%.

C.

8%.

解释：

B is correct.

According to the result of last question, when portfolio's standard deviation is 27%, the correlation between the two securities is 1. The covariance is  Cov( R 1 , R 2 )= ρ 12 σ 1 σ 2  =(1.0)(30%)(25%)=7.50%.

用两个资产做组合求标准差的公式计算初结果是0.76875。这个选项到底该怎么解？

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1 个答案

星星_品职助教 · 2020年02月21日

同学你好，

这道题两资产的组合标准差是题干给出的27%。用两资产求标准差的公式直接代入各自权重和各自的标准差即可求出cov=0.075。

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NO.PZ2018070201000044问题如下What's the covarianbetween the two securities? Assuming the stanrviation of the portfolio is 27%.A.7%B.7.5%.C.8%.B is correct.Accorng to the result of last question, when portfolio's stanrviation is 27%, the correlation between the two securities is 1. The covarianis Cov( R 1 , R 2 )= ρ 12 σ 1 σ 2 =(1.0)(30%)(25%)=7.50%.是-0.75可以详细说下为啥相关系数等于1吗

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