mini2019-08-30 18:59:53
Suppose 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 平均正确率:70.9% 正确答案:A你的答案:C 老师题目中的correlation是系数,还是cov(p,b)?
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Adam2019-08-30 19:24:12
同学你好,是系数呀ρ
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