Q11. Stock A has a standard deviation of 4.1% and Stock B has a standard deviation of 5.8%. If the stocks are perfectly positively correlated, which portfolio weights minimize the portfolio’s standard deviation? Stock A Stock B
A) 63% 37% B) 100% 0% C) 0% 100%
Q12. An investor calculates the following statistics on her two-stock (A and B) portfolio. - σA = 20%
- σB = 15%
- rA,B = 0.32
- WA = 70%
- WB = 30%
The portfolio's standard deviation is closest to: A) 0.1832. B) 0.0256. C) 0.1600.
Q13. Two assets are perfectly positively correlated. If 30% of an investor's funds were put in the asset with a standard deviation of 0.3 and 70% were invested in an asset with a standard deviation of 0.4, what is the standard deviation of the portfolio? A) 0.151. B) 0.370. C) 0.426.
Q14. Which one of the following statements about correlation is FALSE?
A) If the correlation coefficient were 0, a zero variance portfolio could be constructed. B) Potential benefits from diversification arise when correlation is less than +1. C) If the correlation coefficient were -1, a zero variance portfolio could be constructed.
Q15. There are benefits to diversification as long as:
A) there is perfect positive correlation between the assets. B) the correlation coefficient between the assets is less than 1. C) there must be perfect negative correlation between the assets.
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发表于 2009-1-22 10:31
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