NO.PZ2022123001000050
问题如下:
The following information applies to a portfolio composed of Fund A and Fund B:
The portfolio's standard deviation of return is closest to:
选项:
A.8.80%
B.8.35%
C.7.38%
解释:
The covariance between Fund A and B, given the standard deviation of returns and the correlationbetween the two funds, is calculated as:
先计算组合的整体期望收益E(p) = 0.7 * 10% + 0.3 * 16% = 11.8%,然后计算收益的方差0.7*(10-11.8)^2 + 0.3 *(16-11.8)^2,再开方得到标准差