NO.PZ2015121801000043
问题如下:
A portfolio manager creates the following portfolio:
If the standard deviation of the portfolio is 14.40%, the correlation between the two securities is equal to:
选项:
A.-1.0.
B.0.0.
C.1.0.
解释:
C 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.
这道题目我算出来corr是0.94,是选一个最相近的答案么