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"Portfolio Management":Formula of portfolio risk
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Questions 1:
A portfolio contains equal weights of two securities having the same standard deviation. If the correlation between the returns of the two securities was to decrease, the portfolio risk would most likely:
A、 increase.
B、 remain the same.
C、 decrease.
Questions 2:
Information for Stock A and the market appear in the following table:
The beta of Stock A is closest to:
A 、1.70.
B、 2.35.
C、 0.43.
View answer resolution
【Answer to question 1】C
【analysis】
C is correct. The formula for the return standard deviation (risk) of a two asset portfolio is
The formula for portfolio risk shows that portfolio risk decreases as the correlation decreases.
A is incorrect because the portfolio risk would decrease.
B is incorrect because the portfolio risk would decrease.
【Answer to question 2】A
【analysis】
A is correct. Beta is calculated as 0.85 × 0.40/0.20 = 1.70.
B is incorrect: 2.35 = 0.4/0.2/0.85.
C is incorrect. 0.43 = 0.85 × 0.20/0.40
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