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绒谷谷 · 2022年01月08日

请问这个为什么不用E(R)=wi*E(Ri)之和的这个公式?这个算出来是选项A 14%

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\%

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:



A 14.00%.


B 14.14%.


C 20.00%.

绒谷谷 · 2022年01月08日

我好像做题时看错了,E(R)这公式是求预期收益的,题目问的是expected standard deviation, 请问求收益就是用我问的这个公式计算是吗

1 个答案

Kiko_品职助教 · 2022年01月10日

嗨,努力学习的PZer你好:


是的。没错~

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加油吧,让我们一起遇见更好的自己!

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