新用戶掃碼下載
掃碼下載APP
及時接收最新考試資訊及
備考信息
"investment portfolio" exercise : standard deviation
學習是一個不斷積累的過程，每天學習一點，每天進步一點！為了幫助大家更高效地備考2021年CFA考試，正保會計網(wǎng)校每日為大家上新CFA習題供大家練習。讓網(wǎng)校與您一起高效備考2021年CFA考試，夢想成真！
Questions 1:
Based on the following historical data, which is closest to the standard deviation for the two-asset portfolio shown in the table?
| Asset A | Asset B | Asset C | |
| Standard deviation | 4.7% | 7.7% | |
| Portfolio weight | 0.4 | 0.6 | |
| Correlation | 0.3 |
By accessing this mock exam, you agree to the following terms of use: This mock exam is provided to currently- registered CFA candidates. Candidates may view and print the exam for personal exam preparation only. The following activities are strictly prohibited and may result in disciplinary and/or legal action: accessing or permitting access by anyone other than currently-registered CFA candidates; copying, posting to any website, emailing, distributing and/or reprinting the mock exam for any purpose.
A. 6.5%
B. 5.5%
C. 5.0%
Questions 2:
When considering a portfolio that is optimal for one investor, a second investor with a higher risk aversion would most likely:
A. expect a higher variance for the portfolio.
B. derive a lower utility from the portfolio.
C. have a lower return expectation for the portfolio.
View answer resolution
【Answer to question 1】（B）
【Answer to question 2】（B）
【analysis】
Utility has two terms: the expected return and a negative term based on the portfolio risk weighted by risk aversion. For an identical portfolio, the investor with a higher risk aversion (A) would calculate a lower utility (U).
U=E(r)-?Aσ
成功=時間+方法，自制力是這個等式的保障。世上無天才，高手都是來自刻苦的練習。而人們經(jīng)常只看到“牛人”閃耀的成績，其成績背后無比寂寞的勤奮。小編相信，每天都在勤奮練習，即使是一點點的進步，大家一定可以成為人人稱贊的“牛人”。
推薦閱讀
新用戶掃碼下載
京公網(wǎng)安備 11010802044457號
