问题如下:
A portfolio manager creates the following portfolio:
If the standard deviation of the portfolio is 14.40%, the covariance between the two securities is equal to:
选项:
A. 0.0006.
B. 0.0240.
C. 1.0000.
解释:
B is correct.
A portfolio standard deviation of 14.40% is the weighted average, which is possible only if the correlation between the securities is equal to 1.0. If the correlation coefficient is equal to 1.0,then the covariance must equal 0.0240, calculated as:
=(1.0)(20%)(12%)=2.40%=0.0240.
老师,正常是不是要用组合标准差公式到算出相关系数? 即,已知组合标准差是14.4%,两个组合的权重和分别的标准差。求相关系数?