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标题: Port Management calc question [打印本页]

作者: BC_MBA_student 时间: 2011-7-11 19:47 标题: Port Management calc question

This is from the Qbank regarding calculation of portfolio variance.

I am confused as to why they used they calculated the way they did.

Company A STDEV 60%
Company B STDEV 30%
Weight is 50% each
Covariance is 576

The way the answer calculated it is as follows
portfolio variance = (0.5 x 0.5)(60 x 60) + (0.5 x 0.5)( 30 x 30) + 2 x 0.5x 0.5 x 576) = 1413

The answer would be very different if you calculated using the stdev in decimal form.

Now... shouldn't the 60% and 30% be in decimal form? But then the covariance should also be in.. decimal form?

What am I missing here?

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