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标题: HandBook 6th上例题请教 [打印本页]

作者: xuchanggu 时间: 2011-2-2 16:05 标题: HandBook 6th上例题请教

请教下第六版本上，第109页，例题5.5，FRM 2004年的考题，题号是-39.
请教应该如何解此题？
此题运用到的知识点又是哪几个？

没有此书的TX，我把题目打出来
Consider a portfolio with 40% invested in asset X and 60% in asset Y. The mean and variance of return on X are 0 and 25 respectively. The mean and variance of return on Y are 1 and 121 respectively. The correlation coefficient between X and Y is 0.3. What is the nearest value for portfolio volatility?

a.9.51
b.8.60
c.13.38
d.7.45

望各位帮忙啊！多谢多谢！

作者: hmmjw 时间: 2011-2-24 15:42

运用数理统计公式：D(aX+bY)=a2*D(X)+b2*D(X)+2ab*Cov(X,Y)

[此贴子已经被作者于2011-2-24 15:43:10编辑过]

作者: riyxp 时间: 2013-5-8 13:35

看的激动。。。谢谢楼主了

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