题目
A portfolio is invested equally in two asset classes: bonds with expected return of 3.0% per annum and volatility of 18.0%; equities with expected return of 7.0% per annum and volatility of 26.0%. Their correlation is 0.40. If the portfolio re-allocates from equally weighting to 60% equities and 40% bonds, what is the net change to the portfolio's expected return?
选项
A.No change to portfolio's expected return
B.Increase of 0.4%
C.Increase of 0.8%
D.Increase of 1.2%
答案
B
解析
Before: 50%×3% 50%×7% = 5.0% After: 40%×3% 60%×7% = 5.4%Expected return increases by 0.4%.Note that neither volatilities nor correlation impacts expected return. 之前: 50%×3%＋50%×7% = 5.0% 之后: 40%×3%＋60%×7% = 5.4% 预期收益率增长了0.4%。 注意波动率和相关系数都不会影响预期收益率。