"Portfolio Management": Portfolio Risk and Return: Part I

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來源: 正保會計網校編輯：小鞠橘桔 2020/10/13 09:32:41　字體：大小

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Questions 1:

Selected information about shares of two companies is provided in the following table:

Portfolio Management: Portfolio Risk and Return: Part I

The standard deviation of returns of the portfolio formed with these two stocks is closest to:

A、 32.85%.

B 、26.80%.

C、 25.04%.

Questions 2:

For a portfolio consisting of two assets with a correlation coefficient of +1.0, it is most likely that portfolio risk is:

A 、equal to the weighted average of the risk of the two assets in the portfolio.

B 、less than the weighted average of the risk of the two assets in the portfolio.

C、 greater than the weighted average of the risk of the two assets in the portfolio.

View answer resolution

【Answer to question 1】C

【analysis】

C is correct.

Portfolio Management: Portfolio Risk and Return: Part I

B is incorrect. This is the weighted standard deviations = 0.68 × 0.30 + 0.32 × 0.20 = 0.268.

【Answer to question 2】A

【analysis】

A is correct. With a correlation coefficient of +1.0, no diversification benefits are obtained and the portfolio risk is equal to the weighted average of the risk of the two assets in the portfolio.

B is incorrect. Portfolio risk is less than the weighted average of the risk of the two assets in the portfolio only when the correlation coefficient is smaller than one.

C is incorrect. Portfolio risk can never be greater than the weighted average of the risk of the two assets in the portfolio.

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