题目如下:
已知expected return on market=12%, standard deviation on market=10%, expected return on risk-free asset=5%, the expected return on a portfolio=7%
求:standard deviation of the portfolio
我的问题是,书上说用market 和portfolio的协方差除以market的方差便可得贝塔值,可是我现在已知的只有市场的标准差,如何求贝塔值,然后求出portfolio的标准差呢?
请高手求助!谢谢!!!!!