标题: Variance of equally weighted portfolo question [打印本页] 作者: Bluetick1010 时间: 2013-4-13 23:44 标题: Variance of equally weighted portfolo question
Suppose .3 is the common correlation of returns between any two stocks in a portfolio containing 100 stocks. Also, suppose the average variance of stocks in the portfolio is 625 (corresponding to a standard deviation of return of 25%). Calculate the portfolio standard deviation.
A: .0625 [(1 - .3 / 100) + .3] = .01919, square root = 13.852%
Is there anyway to find this answer using the equation that utilizes covariance:
1/n*avg. variance of all assets in the portfolio + n - 1 / n*avg. covariance of all pairings of assets in the portfolio
I assume there is since the equation they used to solve the problem is derived from the second one I wrote.作者: Benjiko 时间: 2013-4-13 23:44
