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"investment portfolio" exercise : standard deviation

来源: 正保会计网校 编辑:大耳朵图图 2020/09/09 11:16:09 字体:

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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 AAsset BAsset C
Standard deviation4.7%7.7% 
Portfolio weight0.40.6 
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)

【analysis】

The standard deviation of a two asset portfolio is calculated as follows:

The formula is shown in the following figure:

lALPD4d8qVBVjrVgzQHY_472_96

【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)-½Aσ

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