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水水 · 2022年04月27日

corr为啥是1呢

NO.PZ2018070201000062

问题如下:

Laurel, an manager from an investment company, recently constructs the following portfolio, assuming that the two assets are not relevant, what is the expected standard deviation if the two assets are equal-weighted:

选项:

A.

8.00%.

B.

10.00%.

C.

12.00%.

解释:

Each stock contains the same weight in the equal-weighted portfolio, so ω1=ω2=0.5

σport=ω12σ12+ω22σ22+2·ω1ω2·ρ·σ1σ2=(0.5)2(16%)2+(0.5)2(12%)2+2×0.5×0.5×0×16%×12%=10%

有点没明白 公式知道,但是预期回报率那里有啥作用

1 个答案

Kiko_品职助教 · 2022年04月29日

嗨,从没放弃的小努力你好:


assuming that the two assets are not relevant,这里说明corr是0,而不是1哦,公式代入也是代入得0计算的。

前面预期回报这里没有用到。

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2022-08-16 08:30 1 · 回答

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