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  4. An investor has a two-stock portfolio (Stocks A and B) with the following characteristics: Standard Deviations: σₐ = 55% ...

An investor has a two-stock portfolio (Stocks A and B) with the following characteristics: Standard Deviations: σₐ = 55% σₑ = 85% Covariance: Cov(ₐ, ₑ) = 0.09 Weights: Wₐ = 70% Wₑ = 30% The variance of the portfolio is closest to: A) 0.39 B) 0.54 C)

«An investor has a two-stock portfolio (Stocks A and B) with the following characteristics: Standard Deviations: σₐ = 55% σₑ = 85% Covariance: Cov(ₐ, ₑ) = 0.09 Weights: Wₐ = 70% Wₑ = 30% The variance of the portfolio is closest to: A) 0.39 B) 0.54 C)»
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Условие:

An investor has a two-stock portfolio (Stocks A and B) with the following characteristics:
\[
\begin{array}{l}
\sigma_{A}=55 \% \\
\sigma_{B}=85 \%
\end{array}
\]

Covariance \( _{\mathrm{A}, \mathrm{B}}=0.09 \)
\[
\begin{array}{l}
W_{A}=70 \% \\
W_{B}=30 \%
\end{array}
\]The variance of the portfolio is closest to: A) 0.39 B) 0.54 C) 0.25

Решение:

Для решения задачи используем формулу дисперсии портфеля для двух активов:   Var(portfolio) = wₐ²σₐ² + w_b²σ_b² + 2·wₐ·w_b·Cov(A, B) Где:   wₐ, w_b – веса акций A и B,   σₐ, σ_b – стандартные отклонения акций A и B,   Cov(A, B) – ковариация между акциями. Шаг 1. Перевод значений в де...

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