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💗 · 2025年06月30日

market standard deviation改变

NO.PZ2023021601000034

问题如下:

Following its decision to divest its non-core assets, analysts expect HCL Corp's standard deviation of returns to rise to 30% and its correlation with the market portfolio to remain unchanged at 0.8. The risk-free rate and the market risk premium are expected to remain unchanged at 6% and 8%, respectively. However, the market portfolio's standard deviation of returns is expected to decrease to 15%. The firm's expected return after the restructure is closest to: (2016 mock)

选项:

A.9.2%. B.18.8%. C.17.6%.

解释:

market的SD变了,这样correlation between market and portfolio也应该要改变呀

1 个答案

Kiko_品职助教 · 2025年07月01日

嗨,努力学习的PZer你好:


题目不是已经说了correlation保持0.8不变了吗。correlation的公式不仅仅有SD这一个变量啊。还有cov呢。所以这个不需要纠结

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虽然现在很辛苦,但努力过的感觉真的很好,加油!