问题如下:
Laurel, an manager from an investment company, recently constructs the following portfolio, assuming that the correlation of the two securities is -0.8, what is the expected standard deviation if the two assets are equal-weighted:
选项:
A. 4.82%.
B. 5.22%.
C. 5.68%.
解释:
A is correct.
Each stock contains the same weight in the equal-weighted portfolio, so
请问,直接用equal weighted 公式做,这个算前半部分对吗?