《投资组合习题5-8.pptVIP

投资组合习题 9. The expected rate of return and standard deviation of the global minimum variance portfolio, G, are __________ and __________, respectively. A) 10.07%; 1.05% B) 9.04%; 2.03% C) 10.07%; 3.01% D) 9.04%; 1.05% E) none of the above Answer: D Difficulty: Moderate Rationale: E(RG) = 0.23(13.2%) + 0.77(7.7%) = 8.97% . 9%; sG = [(0.23)2(1.5)2 + (0.77)2(1.1)2 + (2)(0.23)(0.77)(1.5)(1.1)(0.46)]1/2 = 1.05%. Chapter 7 Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd. 10. Which of the following portfoli