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bob · 2020年06月13日

问一道题:NO.PZ2015121801000044 [ CFA I ]

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:

Cov( R 1 , R 2 )= ρ 12 σ 1 σ 2  =(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?

1 个答案

丹丹_品职答疑助手 · 2020年06月15日

嗨,努力学习的PZer你好:


同学你好,是这样的。也可以根据[(14.4%)^2-(0.3*0.2)^2-(0.7*0.12)^2]/2直接求解


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NO.PZ2015121801000044 老师,14.4%推出p=1,这个点还不是很懂?请解惑,谢谢!

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2020-10-21 16:36 2 · 回答