資格考 risk-free portfolio 問題 - 金融分析師

※ 引述《rosso0922 (嗶波)》之銘言：
: ssume that the relation between two assets, X and Y, are given by Y=6+0.2X,
: the probability distribution and the corresponding return for X are given by
: the following table:
: =============================================
: Probability 0.1/ 0.2/ 0.4/ 0.2/ 0.1
: X 30%/ 20%/ 15%/ 10% -50%
: =============================================
: a.What is the correlation between assets X and Y?
: b.How many percent of your wealth should be invested in asset X to create a
: risk-free portfolio
: c. plot the efficient frontier in the expected return-standard deviation
: space.Also indicate the risk-free asset, and assets X and Y.
: 以上這一題請益
: a.第一小題基於y=6+0.2x
: 依照這樣解起來他問是甚麼關係以統計的觀點來看應該是單純的線性關係
這是甚麼程度的資格考................

他不是在問你關係
他是要你算相關係數啦

: 至於b我就真的無從下手了....懇請板上各位先進給我指導
根據CAPM 你根本不用投資x

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※ 編輯: yuekun 來自: 114.42.188.111 (05/29 23:35)