1．Consider an equally-weighted portfolio comprised of seven assets in which the average asset variance equals 0.31 and the average covariance equals 0.27. What is the variance of the portfolio? A) 24.16%. B) 27.5%. C) 27.5%. D) 26.71%. The correct answer was B) Portfolio variance = σ2p = (1/n) σ 21 + [(n-1)/n]cov = [(1/7) x 0.31] + [(6/7) x 0.27] = 0.044 + 0.231 = 0.275 = 27.5% 2．Consider an equally-weighted portfolio comprised of 17 assets in which the average asset standard deviation equals 0.69 and the average covariance equals 0.36. What is the variance of the portfolio? A) 32.1%. B) 37.5%. C) 36.7%. D) 36.77%. The correct answer was C) Portfolio variance = σ2p = (1/n) σ 21 + [(n-1)/n]cov = [(1/17) x 0.48] + [(16/17) x 0.36] = 0.028 + 0.339 = 0.367 = 36.7% 3．Consider an equally-weighted portfolio comprised of five assets in which the average asset standard deviation equals 0.57 and the average correlation between all asset pairs is -0.21. The variance of the portfolio is closest to: A) 10.00%. B) 1.82%. C) 1.00%. D) 18.24%. The correct answer was C) Portfolio variance = σ2p = (1/n) σ 21 + [(n-1)/n]cov ρ1,2 = (cov1,2) / (σ1 σ2) therefore cov1,2 = (ρ1,2)(σ1 σ2) = (-0.21)(0.57)(0.57) = -0.068 σ2 = (0.57)2 = 0.32 σ2p = (1/5)(0.32) + (4/5)(-0.068) = 0.064 + (-0.0544) = 0.0096 or 1.00% | 
发表于 2008-4-14 17:12
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