An analyst does research about the portfol

问题单项选择题

An analyst does research about the portfolio's standard deviation of return. A portfolio consisting of two securities has the following characteristics:

Security	Portfolio Weight	Standard Deviation
1	35%	16%
2	65%	19%

If the correlation of returns between the two securities is -0.25, the portfolio's standard deviation of return is closest to:（）

A. 12.22%

B. 14.78%

C. 14.93%

答案

参考答案：A

解析：

投资组合的方差

=0.35²×0.16²+0.55²×0.19²-2×0.35×0.55×0.16×0.19×0.25=0.00314+ 0.01525-0.00346=0.01493。

投资组合的标准差=0.01493^1/2=12.22%。