Yuzuru2023-09-03 22:15:37
Yuzuru老师，这里没看明白The expected risk of the domestic currency return for the Australian asset is (1.055) × 7% = 7.39%.The expected risk of the domestic currency return for the German asset = (1.035) × 5% = 5.18%.这题能具体再讲讲吗?听得有点晕
查看试题回答（1）
Simon2023-09-04 10:13:04
Simon同学，上午好。
就单个资产而言，如果投资外国无风险资产，那么σ(Rdc)=(1+Rf)σ(Rfx)，（因为题目里说了Because the foreign-currency return on these Treasury bill assets is risk-free，所以5.5%，和3.5%都是无风险利率）
先各自计算AUD和EUR的σ(Rdc)。
AUD的σ(Rdc): (1.055) × 7% = 7.39%
EUR的σ(Rdc): (1.035) × 5% = 5.18%
然后再根据公式：σ^2=w1^2×σ1^2+w2^2×σ2^2+2×w1×w2×σ1×σ2×ρ，计算。
因为AUD和EUR各占50%，
那么，σ(Rdc) ^2= (0.5)^2×(7.39%)^2 + (0.5)^2×(5.18%)^2 + 2×(0.5)×(7.39%)×(0.5)×(5.18%)×(0.6) = 0.003185.
然后开根号，得到σ(Rdc) = 0.05643 = 5.643%.
- 评论（0）
- 追问（0）
评论
0/1000
追答
0/1000
+上传图片