| 请教下第六版本上，第109页，例题5.5，FRM 2004年的考题，题号是-39. 请教应该如何解此题？ 此题运用到的知识点又是哪几个？我把题目打出来 Consider a portfolio with 40% invested in asset X and 60% in asset Y. The mean and variance of return on X are 0 and 25 respectively. The mean and variance of return on Y are 1 and 121 respectively. The correlation coefficient between X and Y is 0.3. What is the nearest value for portfolio volatility? a.9.51 b.8.60 c.13.38 d.7.45 望各位帮忙啊！多谢多谢！ |
发表于 2012-6-5 19:13
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