mini
2019-08-30 18:59Suppose that the correlation of the return of a portfolio with the return of its benchmark is 0.8, the volatility of the return of the portfolio is 5%, and the volatility of the return of the benchmark is 4%. What is the beta of the portfolio? A 1.00 B 0.80 C 0.64 D -1.00 平均正確率:70.9% 正確答案:A你的答案:C 老師題目中的correlation是系數(shù),還是cov(p,b)?
所屬:FRM Part I 視頻位置 相關(guān)試題
來源: 視頻位置 相關(guān)試題
1個回答
Adam助教
2019-08-30 19:24
該回答已被題主采納
同學(xué)你好,是系數(shù)呀ρ
