之前小編給你說的是CFA道德科目的考試題，今天小編給你說說其他科目的CFA考試題，投資組合收益率的標(biāo)準(zhǔn)差CFA考試題難度如何？遇到這類題如何計(jì)算？

今天小編分享的是計(jì)算題，看看你是不是能不能做對(duì)呢？如果你能做對(duì)，那你這部分知識(shí)是掌握了！

Based on historical returns, a portfolio has a Sharpe ratio of 2.0. If the mean return to the portfolio is 20%, and the mean return to a risk-free asset is 4%, the standard deviation of return on the portfolio is closest to:

根據(jù)歷史回報(bào)率，投資組合的夏普比率為2.0。如果投資組合的平均收益率為20%，無風(fēng)險(xiǎn)資產(chǎn)的平均收益率為4%，則投資組合收益率的標(biāo)準(zhǔn)差zui接近于:

A．12%.

B．8%.

C．10%.

【答案】B查看答案


【解析】

The Sharpe ratio for a portfolio p, based on historical returns, is defined as Where is the mean return to the portfolio is the mean return to a risk-free asset, and sp is the stancard deviation of return on the portfolio In this instance, 2= (20%-4%)/sp Solving forsp: sp = (20%- 4%)/2 = 8%

這道考試題是CFA Level Ⅰ知識(shí)點(diǎn)哦！你是不是掌握了呢？如果你在備考中沒有考試題，這邊有電子版和紙質(zhì)版的考試題，有需要可以在線咨詢為你解答哦！