一位养老基金管理人正在考虑两种共同基金:股票基金( S ), E ( r s ) = 13 % , σ s = 20 % ;长期政府债券基金( B ), E ( r B ) = 8 % , σ B =1 2 % 。另有,股票基金与长期政府债券基金的相关系数为 0.3,即ρ SB =0. 3。试求:达到最小方差的投资组合的标准差是多少?
A.
0.72%
B.
47.25%
C.
11.45%
D.
以上选项都不正确
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