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lizzy233 · 2022年09月29日

No.PZ2018070201000062 (选择题)

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%

这道题correlation/covariance为什么用了0?

题干说not relevant,not relevant不应该是-1吗?完全不相关?前面有道题也说了“当相关系数为0的时候,可以构建一个零方差组合。是不对的,只有当相关系数为-1的时候,也就是他们完全负相关,构建的投资组合才是零方差的。”


1 个答案

Kiko_品职助教 · 2022年09月29日

嗨,努力学习的PZer你好:


the two assets are not relevant,意思是不相关,代表correlation=0。而不是完全负相关,所以这道题构建的投资组合方差不是0啊。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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