5283金融与交易中等数值题short
Correlation Break And Diversification Loss 3
题目
A two-asset portfolio has weights 0.3 and 0.7, volatilities 0.03 and 0.10, and current correlation 0.25. After a macro shock, correlation is revised to 0.75 with all else unchanged. What is the new portfolio volatility, and how many volatility points of diversification are lost relative to the original estimate?
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你的答案
new_vol
lost_vol