如题

NO.PZ2021062201000003

问题如下：

A two-stock portfolio includes stocks with the following characteristics:

What is the standard deviation of portfolio returns？

选项：

14.91%

18.56%

21.10%

解释：

B is correct. The covariance between the returns for the two stocks is

Cov (R1,R2) = ρ (R1,R2) σ (R1) σ(R2) = 0.20 (12) (25) = 60.

The portfolio variance is：

${\sigma ^2}{R_p} = w_1^2{\sigma ^2}({R_1}) + w_2^2{\sigma ^2}({R_2}) + 2{w_1}{w_2}Cov({R_1},{R_2})$

=(0.30)2(12)2+(0.7)2(25)2+2(0.30)(0.70)(60)

=12.96 +306.25 +25.2

=344.41

The portfolio standard deviation is：

${\sigma ^2}({R_P}) = {344.41^{1/2}} = 18.56\%$

知识点：Probability Concepts

能详细讲一下这道题吗？看不懂

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1 个答案

星星_品职助教 · 2022年03月20日

同学你好，

本题要计算的是两资产组合的组合标准差，根据公式逐项代入求的组合方差后开方即可得到答案。

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NO.PZ2021062201000003 问题如下 A two-stoportfolio inclus stocks with the following characteristics: Whis the stanrviation of portfolio returns？ A.14.91% B.18.56% C.21.10% B is correct. The covarianbetween the returns for the two stocks isCov (R1,R2) = ρ (R1,R2) σ (R1) σ(R2) = 0.20 (12) (25) = 60. The portfolio varianisσ2Rp=w12σ2(R1)+w22σ2(R2)+2w1w2Cov(R1,R2){\sigma ^2}{R_p} = w_1^2{\sigma ^2}({R_1}) + w_2^2{\sigma ^2}({R_2}) + 2{w_1}{w_2}Cov({R_1},{R_2})σ2Rp=w12σ2(R1)+w22σ2(R2)+2w1w2Cov(R1,R2)=(0.30)2(12)2+(0.7)2(25)2+2(0.30)(0.70)(60)=12.96 +306.25 +25.2=344.41The portfolio stanrviation isσ2(RP)=344.411/2=18.56%{\sigma ^2}({R_P}) = {344.41^{1/2}} = 18.56\%σ2(RP)=344.411/2=18.56% 知识点Probability Concepts 还是在portfolio里如果有AB两个产品的情况下，AB的covaraince就是portfolio的variance

2023-07-28 17:35 1 · 回答

2023-07-28 17:30 1 · 回答

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2023-03-12 22:24 1 · 回答

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2023-01-03 00:24 2 · 回答

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2022-11-30 07:20 1 · 回答

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