标题: Mock 2 final question (don't look if you haven't done) [打印本页] 作者: pogo 时间: 2013-4-17 19:07 标题: Mock 2 final question (don't look if you haven't done)
I’m convinced that the answer for the last question in mock 2 was wrong.
I’m not going to reproduce the question, but it was a portfolio standard deviation calculation where they used the formula:
std dev = [(w1^2)*(sdev1^2)+ (w1^2)*(sdev2^2) + 2 * w1 * w2 * sdev1 * sdev2 * Covariance of 1 & 2] ^ 1/2
Now, I thought that if you had the covariance, you leave out the sdev1 and sdev2 in the final part of the equation?
Am I going mad?作者: YAhmed 时间: 2013-4-17 19:07
No, you’re not going mad. You’re right. The formula either has product of 2, covariance and weights, or product of 2, correlation and stdv of each asset.作者: svgleeson 时间: 2013-4-17 19:07
don’t worry, found a post from June which confirmed my belief that CFAI was wrong
I wasted so much time on this one, both during the mock and afterwards. Thanks CFAI!作者: spartanag07 时间: 2013-4-17 19:08
So when the covariance is given…the ending part is 2*W1*W2*SD1*SD2*Cov
But when Corr is given its…2*W1*W2*Corr.
is that correct?作者: YAhmed 时间: 2013-4-17 19:08
nope
when cov is given – it is 2 * w1 * w2 * cov
remember cov = cor * sd1 * sd2
when corr is given
it is 2 * w1 * w2 * corr * sd1 * sd2作者: Valores 时间: 2013-4-17 19:08
makes perfect sense, it just fills in the rest of the formula for you
thanks!!!
