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