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Asker · 2020年10月21日

问一道题：NO.PZ2015121801000044

  1. CFA I
  2. Portfolio

问题如下：

A portfolio manager creates the following portfolio:

If the standard deviation of the portfolio is 14.40%, the covariance between the two securities is equal to:

选项：

A.

0.0006.

B.

0.0240.

C.

1.0000.

解释：

B   is correct.

A portfolio standard deviation of 14.40% is the weighted average, which is possible only if the correlation between the securities is equal to 1.0. If the correlation coefficient is equal to 1.0,then the covariance must equal 0.0240, calculated as:

Cov( R 1 , R 2 )= ρ 12 σ 1 σ 2  =(1.0)(20%)(12%)=2.40%=0.0240.

https://class.pzacademy.com/qa/45937


我看的这里的图，助教的图显示不出来


我想问下：“是通过给出的组合方差14.40%正好和单个资产的平方和的形式相等，从而得出了ρ=1”


14.4%等于资产2的方差12%的平方，但是公式

rp^2=(w1*r1)^+(w2*r2)^2+w1*w2*+2*w1*w2*r1*r2*p

我不知道怎么和这个复杂的式子就联系上了呢？

r2^2=0.12^2=14.4%

而rp^2= 14.4%^2=0.020736，完全没关系啊

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已采纳答案

丹丹_品职答疑助手 · 2020年10月21日

同学你好，巧妙不太出来。不过你可以根据选项中的一些数带入计算，这个比较巧妙

丹丹_品职答疑助手 · 2020年10月21日

嗨，努力学习的PZer你好：


同学你好，根据公式，0.020736rp^2=(w1*r1)^+(w2*r2)^2+w1*w2*+2*w1*w2*r1*r2*p这里面唯一一个不确定的量就是ρ，可以通过计算求得，并计算出covariance


-------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！


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NO.PZ2015121801000044 问题如下 A portfolio manager creates the following portfolio:If the stanrviation of the portfolio is 14.40%, the covarianbetween the two securities is equto: A.0.0006. B.0.0240. C.1.0000. is correct.A portfolio stanrviation of 14.40% is the weighteaverage, whiis possible only if the correlation between the securities is equto 1.0. If the correlation coefficient is equto 1.0,then the covarianmust equ0.0240, calculateas: Cov( R 1 , R 2 )= ρ 12 σ 1 σ 2 =(1.0)(20%)(12%)=2.40%=0.0240. 14%^2= 30%^2✖️20%^2+70%^2✖️12%^2+2✖️30%✖️70%✖️covcov算出来=0.1014请问是哪里算错了

2023-12-06 11:34 1 · 回答

NO.PZ2015121801000044 问题如下 A portfolio manager creates the following portfolio:If the stanrviation of the portfolio is 14.40%, the covarianbetween the two securities is equto: A.0.0006. B.0.0240. C.1.0000. is correct.A portfolio stanrviation of 14.40% is the weighteaverage, whiis possible only if the correlation between the securities is equto 1.0. If the correlation coefficient is equto 1.0,then the covarianmust equ0.0240, calculateas: Cov( R 1 , R 2 )= ρ 12 σ 1 σ 2 =(1.0)(20%)(12%)=2.40%=0.0240. 我用了，(w+σ)^2+(w+σ)^2+2w1w2σ1σ2 cov这个公式反推不出来，算出来的结果是0.9901

2022-12-28 12:24 2 · 回答

NO.PZ2015121801000044 老师，14.4%推出p=1,这个点还不是很懂？请解惑，谢谢！

2021-09-01 00:01 1 · 回答

0.0240. 1.0000. B   is correct. A portfolio stanrviation of 14.40% is the weighteaverage, whiis possible only if the correlation between the securities is equto 1.0. If the correlation coefficient is equto 1.0,then the covarianmust equ0.0240, calculateas: Cov( R 1 , R 2 )= ρ 12 σ 1 σ 2  =(1.0)(20%)(12%)=2.40%=0.0240. 老师，正常是不是要用组合标准差公式到算出相关系数？即，已知组合标准差是14.4%，两个组合的权重和分别的标准差。求相关系数？

2020-06-13 12:04 1 · 回答