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Olinaaaaa · 2024年04月11日

还是不太懂total mean value 10是咋来的

NO.PZ2020011303000049

问题如下:

An investment has probabilities of 0.1, 0.3, 0.2, 0.3, and 0.1 of giving one-year returns equal to 30%, 20%,10%, 0%, and -10%.

Suppose that there are two investments with the same probability distribution of returns as above. What is the total mean and standard deviation of returns if the correlation between them is 0.2?

解释:

The total mean return is 10%.

The expected squared return is 0.024 so that the standard deviation of the return is 0.0240.12=0.014=0.118\sqrt{0.024-0.1^2}=\sqrt{0.014}=0.118 or 11.8%

standard deviation of returns is 0.52×0.1182+0.52×0.1182+2×0.5×0.5×0.118×0.118×0.2=0.0914\sqrt{0.5^2\times0.118^2+0.5^2\times0.118^2+2\times0.5\times0.5\times0.118\times0.118\times0.2}=0.0914 or 9.14%

有一个投资产品获得30%回报率的可能性是0.120%回报率的可能性是0.310%回报率的可能性是0.2,0%回报率的可能性是0.3-10%回报率的可能性是0.1

假设有两个投资具有与上述相同的收益概率分布。 如果它们之间的相关性为 0.2,则回报的总均值和标准差是多少?

expected squared return=0.1*(30%)^2+0.3*(20%)^2+0.2*(10%)^2+0.3*(0%)^2+0.1*(-10%)^2=0.024

standard deviation of return=(0.5^2×0.118^2+0.5^2×0.118^2+2×0.5×0.5×0.118×0.118×0.2)^0.5=0.0914 or 9.14%

还是不懂total 10咋求出来的 还有那个0.5和0.118怎么得的

1 个答案

pzqa27 · 2024年04月11日

嗨,从没放弃的小努力你好:


0.1*30%+0.3*20%+0.2*10%+0.3*0%+0.1*-10%=10%

题目说了“Suppose that there are two investments with the same probability distribution of returns as above”,因此每个投资占比是50%

根据解析,方差是0.014,所以分布的标准差是11.8%

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虽然现在很辛苦,但努力过的感觉真的很好,加油!