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胡馨梦 · 2021年06月10日

第一列的数据

NO.PZ2015121801000062

问题如下:

A portfolio manager creates the following portfolio:

If the two securities are uncorrelated, the expected standard deviation of an equal-weighted portfolio is closest to:

选项:

A.

14.00%.

B.

14.14%.

C.

20.00%.

解释:

B  is correct.

lσport=w12σ12+w22σ22+2w1w2ρ1,2σ1σ2=(0.5)2(20%)2+(0.5)2(20%)2+2(0.5)(0.5)(0.00)(20%)(20%)=(1.0000%+1.0000%+0.0000%)0.5=(2.0000%)0.5=14.14%{l}{\sigma _{port}} = \sqrt {w_1^2\sigma _1^2 + w_2^2\sigma _2^2 + 2{w_1}{w_2}{\rho _{1,2}}{\sigma _1}{\sigma _2}} \\ = \sqrt {{{(0.5)}^2}{{(20\% )}^2} + {{(0.5)}^2}{{(20\% )}^2} + 2(0.5)(0.5)(0.00)(20\% )(20\% )} \\ = {(1.0000\% + 1.0000\% + 0.0000\% )^{0.5}} = {(2.0000\% )^{0.5}} = 14.14\%

是用不到的么 迷惑我们的么
2 个答案

丹丹_品职答疑助手 · 2021年06月10日

嗨,从没放弃的小努力你好:


同学你好,组合的方差是不需要期望收益率的,第一列与本小题求解无关,可以理解为迷惑项

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加油吧,让我们一起遇见更好的自己!

丹丹_品职答疑助手 · 2021年06月10日

嗨,努力学习的PZer你好:


同学你好,组合的方差是不需要期望收益率的,第一列与本小题求解无关,可以理解为迷惑项

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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