新用戶掃碼下載
掃碼下載APP
及時接收最新考試資訊及
備考信息
"Portfolio Management":Formula of portfolio risk
學習是一個不斷積累的過程，每天學習一點，每天進步一點！為了幫助大家更高效地備考2021年CFA考試，正保會計網校每日為大家上新CFA習題供大家練習。讓網校與您一起高效備考2021年CFA考試，夢想成真！
Questions 1:
A portfolio contains equal weights of two securities having the same standard deviation. If the correlation between the returns of the two securities was to decrease, the portfolio risk would most likely:
A、 increase.
B、 remain the same.
C、 decrease.
Questions 2:
Information for Stock A and the market appear in the following table:
The beta of Stock A is closest to:
A 、1.70.
B、 2.35.
C、 0.43.
View answer resolution
【Answer to question 1】C
【analysis】
C is correct. The formula for the return standard deviation (risk) of a two asset portfolio is
The formula for portfolio risk shows that portfolio risk decreases as the correlation decreases.
A is incorrect because the portfolio risk would decrease.
B is incorrect because the portfolio risk would decrease.
【Answer to question 2】A
【analysis】
A is correct. Beta is calculated as 0.85 × 0.40/0.20 = 1.70.
B is incorrect: 2.35 = 0.4/0.2/0.85.
C is incorrect. 0.43 = 0.85 × 0.20/0.40
成功=時間+方法，自制力是這個等式的保障。世上無天才，高手都是來自刻苦的練習。而人們經常只看到“牛人”閃耀的成績，其成績背后無比寂寞的勤奮。小編相信，每天都在勤奮練習，即使是一點點的進步，大家一定可以成為人人稱贊的“牛人”。
學員討論（0）
推薦閱讀
新用戶掃碼下載
京公網安備 11010802044457號
