王二狗 · 2021年11月19日
NO.PZ2018070201000061
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
请问题目给的Annual return有什么用处吗？
NO.PZ2018070201000061 5.22%. 5.68%. A is correct. Eastocontains the same weight in the equal-weighteportfolio, so ω1=ω2=0.5 lσp=w12σ12+w22σ22+2w1w2σ1σ2∗ρ=0.52(0.16)2+0.52(0.12)2−2×0.5×0.5×0.16×0.12×0.8=4.82%{l}\sigma_p=\sqrt{w_1^2\sigma_1^2+w_2^2\sigma_2^2+2w_1w_2\sigma_1\sigma_2\ast\rho}=\\\sqrt{0.5^2(0.16)^2+0.5^2(0.12)^2-2\times0.5\times0.5\times0.16\times0.12\times0.8}=4.82\%lσp=w12σ12+w22σ22+2w1w2σ1σ2∗ρ =0.52(0.16)2+0.52(0.12)2−2×0.5×0.5×0.16×0.12×0.8 =4.82% 老师，您好，这道题为什么不能求A的方差，即16%*16%=2.56%，B的方差，即12%*12%=1.44%，然后取平均，即(2.56%+1.44%)/2=2%然后用1/2*2%+（2-1）/2*2%*（-0.8)=0.002，得出标准差为4.47%?
5.22%. 5.68%. A is correct. Eastocontains the same weight in the equal-weighteportfolio, so ω1=ω2=0.5 σport=ω12σ12+ω22σ22+2·ω1ω2·ρ·σ1σ2=(0.5)2(16%)2+(0.5)2(12%)2-2×0.5×0.5×0.8×16%×12%=4.82%为什么不能用equally-weighteportfolio 的公式？
老师好，请问用“portfolio of equally weighterisky 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S0.24，为什么用这个方法不对呢？
5.22%. 5.68%. A is correct. Eastocontains the same weight in the equal-weighteportfolio, so ω1=ω2=0.5 σport=ω12σ12+ω22σ22+2·ω1ω2·ρ·σ1σ2=(0.5)2(16%)2+(0.5)2(12%)2-2×0.5×0.5×0.8×16%×12%=4.82% 请问，直接用equweighte公式做，这个算前半部分对吗？
