NO.PZ2021062201000004
问题如下:
Lena Hunziger has designed the three-asset portfolio summarized below:
Hunziger estimated the portfolio return to be 6.3%. What is the portfolio standard deviation?
选项:
A.13.07%
B.13.88%
C.14.62%
解释:
C is correct. For a three-asset portfolio, the portfolio variance is:
=(0.20)2(196) + (0.30)2(225) + (0.50)2(400) + 2(0.20)(0.30)(105) + (2)(0.20(0.50)(140) + (2)(0.30)(0.50)(150)
=7.84 + 20.25 + 100 + 12.6+ 28 +45
=213.69
知识点:Probability Concepts
Lena Hunziger has designed the three-asset portfolio summarized below:
Hunziger estimated the portfolio return to be 6.3%. What is the portfolio standard deviation?
您的回答B, 正确答案是: C
A
13.07%
B
不正确13.88%
C
14.62%
数据统计(全部)
做对次数: 180
做错次数: 141
正确率: 56.07%
数据统计(个人)
做对次数: 0
做错次数: 1
正确率: 0.00%
解析
C is correct. For a three-asset portfolio, the portfolio variance is:
σ
2
R
p
=
w
1
2
σ
2
(
R
1
)
+
w
2
2
σ
2
(
R
2
)
+
w
3
2
σ
2
(
R
3
)
+
2
w
1
w
2
C
o
v
(
R
1
,
R
2
)
+
2
w
1
w
2
C
o
v
(
R
1
,
R
3
)
+
2
w
1
w
2
C
o
v
(
R
2
,
R
3
)
σ2
Rp
=w1
2
σ2
(R1
)+w2
2
σ2
(R2
)+w3
2
σ2
(R3
)+2w1
w2
Cov(R1
,R2
)+2w1
w2
Cov(R1
,R3
)+2w1
w2
Cov(R2
,R3
)
=(0.20)2(196) + (0.30)2(225) + (0.50)2(400) + 2(0.20)(0.30)(105) + (2)(0.20(0.50)(140) + (2)(0.30)(0.50)(150)
=7.84 + 20.25 + 100 + 12.6+ 28 +45
=213.69
知识点:Probability Concepts