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5281金融与交易中等数值题short

Correlation Shock And Volatility Repricing 1

题目

An equal-weight portfolio holds two assets with volatilities 0.04 and 0.09. The current correlation estimate is -0.2, but stress testing revises it to +0.3. With weights unchanged, what is the new portfolio volatility, and by how many volatility points does it rise versus the original estimate?

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你的答案

new_vol

increase