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
老师好,请问用“portfolio of equally weighted risky assets”的方法来求得portfolio的variance是1/2*(16%+12%)/2-1/2*0.8*16%*12%=0.06232, 得SD=0.24,为什么用这个方法不对呢?