Sallyrrr · 2024年03月26日
NO.PZ2015121802000031
问题如下：
An portfolio is constructed as 65% on risky assets with expected return of 12% and standard deviation of 10.15%, and 35% on risk-free assets with a 3% return. What is the expected return and standard deviation of his portfolio?
选项：
解释：
B is correct.
Expected return: (0.65 x 0.12) + (0.35 x 0.03) = 0.0885, or 8.85%.
Standard deviation: 0.65 x 0.1015 = 0.0660, or 6.60%.
NO.PZ2015121802000031 问题如下 portfolio is constructe65% on risky assets with expectereturn of 12% anstanrviation of 10.15%, an35% on risk-free assets with a 3% return. Whis the expectereturn anstanrviation of his portfolio? ExpectereturnStanrviation A.6.25%5.56% B.8.85%6.60% C.10.25%8.90% B is correct.Expectereturn: (0.65 x 0.12) + (0.35 x 0.03) = 0.0885, or 8.85%.Stanrviation: 0.65 x 0.1015 = 0.0660, or 6.60%. 老师，这个是用CML的公式吗？我代入方程之后有两个未知数，求不出来
Stanrviation: 0.65 x 0.1015不明白，为何要如此计算？
无风险资产的标准差未给出，默认为零？组合标准差答案给出的解法不是很理解，麻烦老师一下。
请问老师求标准差，还需要再乘以65%的权重？题干中不是已经给了标准差是10.15%了？不太明白
