作者rosso0922 (嗶波)
看板CFAiafeFSA
標題[問題] 資格考 risk-free portfolio 問題
時間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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1F：推 DIDIMIN:想想看效率前緣的形狀是什麼就可以知道無風險頭組的權重 05/29 18:55
2F：→ goshfju:你可能要惡補下財館的投資組合跟統計的雙變數部分 05/30 19:40
3F：→ rosso0922:因為我算是轉科系的以往研究也是偏會計類 這方面的確弱 05/31 09:51
4F：→ rosso0922:謝謝提醒 我會再加強的 05/31 09:51