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次のISMLの例を考えると、開発者はバスケットの現在のイテレーションで製品オブジェクトをどのように参照する必要がありますか?
<isloop items ="${pdict.Basket.products}" var="product" status= "loopstatus">
...
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A. pdict.product
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A. 12% expected return and 7.2% volatility
B. 8.8% expected return and 7.2% volatility
C. Cannot be determined in the absence of correlation data between the two
D. 12% expected return and 12% volatility
Answer: B
Explanation:
Explanation
This is a straightforward case of basic portfolio math - the only thing being that we are not explicitly given the correlation between the two assets, nor are we given the volatility of the risk free asset. But since the other asset in the portfolio is the risk free asset, it has no risk, ie its volatility is zero, and its correlation with the fund run by the hedge fund manager is also zero. Portfolio returns will be the average returns of the two assets, and portfolio variance will be given by the formula portfolio_vol. Its square root will provide the portfolio volatility.
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