问题
单项选择题
Analysis of two mutual funds, a stock fund-S and a bond fund B, yields the following results: S: Expected Return=0.14 Standard deviation=0.24 B: Expected Return=0.08 Standard deviation=0.14 Covariance between rates of return for S and B=0.00672 A portfolio with equal amounts of S and B will have expected return and standard deviation of:()
A. 0.11 and 0.0580.
B. 0.11 and 0.1393.
C. 0.19 and 0.1393.
答案
参考答案：A
解析：
E(R)=0.50×0.14+0.50×0.08=0.11
Var=0.502×0.242+0.502×0.142+2×0.50×0.50×0.00672=0.00336, SD=0.0580