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Dookies 孟韬羽 · 2021年11月06日

请问original variance怎么算的

NO.PZ2016070202000020

问题如下:

You are given the following information about the returns of stock P and stock Q: variance of return of stock P=100; variance of return of stock Q=225; covariance between the return of stock P and the return of stock Q=53.2. At the end of 1999, you are holding USD 4 million in stock P. You are considering a strategy of shifting USD 1 million into stock Q and keeping USD 3 million in stock P. What percentage of risk, as measured by standard deviation of return, can be reduced by this strategy?

选项:

A.

0.5%

B.

5.0%

C.

7.4%

D.

9.7%

解释:

The variance of the original portfolio is 1,600, implying a volatility of 40. The new portfolio has variance of ;32×100+12×225+2×53.2×3×1=1,444;3^2\times100+1^2\times225+2\times53.2\times3\times1=1,444. This gives a volatility of 38, which is a reduction of 5%.

是直接资产价值4的平方×100吗

1 个答案

品职答疑小助手雍 · 2021年11月07日

同学你好,不是。

p的variance是100,那么标准差就是10,现在有4million的p,那4million p的波动率就是4*10=40. variance是40的平方=1600.