题目
A portfolio, invested in two assets with equal weights, has a volatility of 11.18% when the covariance (and correlation) between the asset returns is zero. If the covariance increases from zero to 0.0160, while the weights and individual asset volatilities remain unchanged, what is the change to portfolio volatility?
选项
A.Increase by 3.14%.
B.Increase by 6.29%.
C.Increase by 12.65%.
D.Not enough information.
答案
A
解析
「huixue_img/importSubject/1564170579236491264.jpeg」当协方差从0增加到0.016时，组合方差的变化是 组合的新方差是 所以波动率的变化是