[問題] 資格考 risk-free portfolio 問題
看板CFAiafeFSA (精算師/基金經理人/銀行家)作者rosso0922 (嗶波)時間13年前 (2012/05/29 15:55)推噓1(1推 0噓 3→)留言4則, 3人參與討論串1/3 (看更多)
ssume that the relation between two assets, X and Y, are given by Y=6+0.2X,
the probability distribution and the corresponding return for X are given by
the following table:
=============================================
Probability 0.1/ 0.2/ 0.4/ 0.2/ 0.1
X 30%/ 20%/ 15%/ 10% -50%
=============================================
a.What is the correlation between assets X and Y?
b.How many percent of your wealth should be invested in asset X to create a
risk-free portfolio
c. plot the efficient frontier in the expected return-standard deviation
space.Also indicate the risk-free asset, and assets X and Y.
以上這一題請益
a.第一小題基於y=6+0.2x
依照這樣解起來他問是甚麼關係以統計的觀點來看應該是單純的線性關係
至於b我就真的無從下手了....懇請板上各位先進給我指導
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