DΣ PORTFOLIO = [W12Σ12 + W22Σ22 + 2W1W2Σ1Σ2R1,2]1/2 GIVEN R12 = +...

111) - TÀI LIỆU CORRECT ANSWERS MOCK EXAM 01 PPT
TÀI LIỆU CORRECT ANSWERS MOCK EXAM 01 PPT

111) D

σ portfolio = [W

1

2

σ

1

2

+ W

2

2

σ

2

2

+ 2W

1

W

2

σ

1

σ

2

r

1,2

]

1/2

given r

12

= +1

σ = [W

1

2

σ

1

2

+ W

2

2

σ

2

2

+ 2W

1

W

2

σ

1

σ

2

]

1/2

= [(W

1

σ

1

+ W

2

σ

2

)

2

]

1/2

σ = (W

1

σ

1

+ W

2

σ

2

) = (.3)(.3) + (.7)(.4) = .09 + .28 = .37