题目
Your colleague Robert uses a two-factor model in order to estimate the volatility of a portfolio. He specifies the covariance matrix as follows:「huixue_img/importSubject/1564170574824083456.png」
The Portfolio has the following factor sensitivities (i.e., betas): 0.60 to the Global Equity Factor and 0.25 to the Global Bond Factor. The volatility of the Portfolio is nearest to which value?
选项
A.16.44%
B.18.60%
C.21.15%
D.25.30%
答案
D
解析
「huixue_img/importSubject/1564170574941523968.png」