问题如下:
A portfolio manager creates the following portfolio:
If the correlation of returns between the two securities is −0.15, the expected standard deviation of an equal-weighted portfolio is closest to:
选项:
A.13.04%.
B.13.60%.
C.13.87%.
解释:
A is correct.
lσport=w12σ12+w22σ22+2w1w2ρ1,2σ1σ2=(0.5)2(20%)2+(0.5)2(20%)2+2(0.5)(0.5)(−0.15)(20%)(20%)=(1.0000%+1.0000%−0.3000%)0.5=(1.7000%)0.5=13.04%
题目中说 equal-weighted portfolio ,为什么不用下面图中的式子计算?