lizzy233 · 2022年09月29日

# No.PZ2018070201000062 (选择题)

NO.PZ2018070201000062

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:

A.

8.00%.

B.

10.00%.

C.

12.00%.

Each stock contains the same weight in the equal-weighted portfolio, so ${\omega }_{1}={\omega }_{2}=0.5$

${\sigma }_{port}=\sqrt{{{\omega }_{1}}^{2}{{\sigma }_{1}}^{2}+{{\omega }_{2}}^{2}{{\sigma }_{2}}^{2}+2·{\omega }_{1}{\omega }_{2}·\rho ·{\sigma }_{1}{\sigma }_{2}}\phantom{\rule{0ex}{0ex}}=\sqrt{\left(0.5{\right)}^{2}\left(16%{\right)}^{2}+\left(0.5{\right)}^{2}\left(12%{\right)}^{2}+2×0.5×0.5×0×16%×12%}\phantom{\rule{0ex}{0ex}}=10%$

###### 1 个答案

Kiko_品职助教 · 2022年09月29日

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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