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yashiro11 · 2025年05月04日

请问这里为什么不是加权平均计算

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%

两个资产权重相等,都是50%,为什么不是0.5*0.16+0.5*0.12=0.14?

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