题目
A portfolio is invested equally in two asset classes: 50% in bonds with expected return of 4.0% per annum and volatility of 20.0%; equities with expected return of 9.0% per annum and volatility of 32.0%. If the portfolio's variance is 0.04520, what is the implied correlation (of returns) between bonds and equities?
选项
A.Zero
B.0.019
C.0.300
D.0.467
答案
C
解析
计算过程如下：「huixue_img/importSubject/1564170578921918464.png」