开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

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？

添加评论
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。

  • 1

    回答

  • 0

    关注

  • 505

    浏览
相关问题

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

2024-02-26 10:33 1 · 回答

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%. 能把相关系数都列出来然后运用到了哪些公式也列出来，谢谢老师

2022-12-28 10:56 2 · 回答

NO.PZ2018070201000044 请问能一下为什么得出 correlation 是1

2022-01-08 16:40 1 · 回答

这个题的具体计算公式是啥呢

2020-10-05 09:42 2 · 回答