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 . 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