NO.PZ2015121802000031
问题如下：
An portfolio is constructed as 65% on risky assets with expected return of 12% and standard deviation of 10.15%, and 35% on risk-free assets with a 3% return. What is the expected return and standard deviation of his portfolio?
选项：
Expected return
Standard deviation
6.25%
5.56%
8.85%
6.60%
10.25%
8.90%
解释：
B is correct.
Expected return: (0.65 x 0.12) + (0.35 x 0.03) = 0.0885, or 8.85%.
Standard deviation: 0.65 x 0.1015 = 0.0660, or 6.60%.
老师，这个是用CML的公式吗？我代入方程之后有两个未知数，求不出来
