作者rosso0922 (哔波)
看板CFAiafeFSA
标题[问题] 资格考 risk-free portfolio 问题
时间Tue May 29 15:54:58 2012
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.
以上这一题请益
a.第一小题基於y=6+0.2x
依照这样解起来他问是甚麽关系以统计的观点来看应该是单纯的线性关系
至於b我就真的无从下手了....恳请板上各位先进给我指导
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1F：推 DIDIMIN:想想看效率前缘的形状是什麽就可以知道无风险头组的权重 05/29 18:55
2F：→ goshfju:你可能要恶补下财馆的投资组合跟统计的双变数部分 05/30 19:40
3F：→ rosso0922:因为我算是转科系的以往研究也是偏会计类 这方面的确弱 05/31 09:51
4F：→ rosso0922:谢谢提醒 我会再加强的 05/31 09:51