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5269金融与交易中等数值题short

Boundary Correlation For No Risk Increase 4

题目

A portfolio holds weights 0.6 and 0.4 in two assets with volatilities 0.02 and 0.08. What correlation would make the portfolio volatility exactly equal to 0.02, the volatility of the safer asset? Is that attainable without going outside the correlation bounds?

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你的答案

Correlation

Attainable within correlation bounds