答案和详解如下： 1、The returns on assets C and D are strongly correlated with a correlation coefficient of 0.80. The variance of returns on C is 0.0009, and the variance of returns on D is 0.0036. What is the covariance of returns on C and D? A) 0.03020. B) 0.00144. C) 0.40110. D) 1.44024. The correct answer was B) r = Cov(C,D) / (σA x σB)
σA = (0.0009)0.5 = 0.03
σB = (0.0036)0.5 = 0.06
0.8(0.03)(0.06) = 0.00144 2、Which of the following is NOT a correct statement concerning covariance? A) It can only apply to two variables at a time. B) A covariance of zero rules out any relationship. C) It can be negative. D) It can exceed one. The correct answer was B) A covariance only measures the linear relationship. The covariance can be zero while a non-linear relationship exists. All the other statements are true. 3、Given Cov(X,Y) = 1,000,000. What does this indicate about the relationship between X and Y? A) It is strong and positive. B) It is weak and positive. C) It is curvilinear. D) Only that it is positive. The correct answer was D) A positive covariance indicates a positive linear relationship but nothing else. The magnitude of the covariance by itself is not informative with respect to the strength of the relationship. 4、Personal Advisers, Inc., has determined four possible economic scenarios and has projected the portfolio returns for two portfolios for their client under each scenario. Personal’s economist has estimated the probability of each scenario as shown in the table below. Given this information, what is the covariance of the returns on portfolio A and portfolio B? Scenario | Probability | Return on Portfolio A | Return on Portfolio B | A | 15% | 18% | 19% | B | 20% | 17% | 18% | C | 25% | 11% | 10% | D | 40% | 7% | 9% |
A) 0.001898. B) 0.002019. C) 0.890223. D) 0.229887. The correct answer was A) S | P (S) | Return on Portfolio A | RA – E(RA) | Return on Portfolio B | RB – E(RB) | [RA – E(RA)]
x [RB – E(RB)]
x P(S) | A | 15% | 18% | 6.35% | 19% | 6.45% | 0.000614 | B | 20% | 17% | 5.35% | 18% | 5.45% | 0.000583 | C | 25% | 11% | –0.65% | 10% | –2.55% | 0.000041 | D | 40% | 7% | –4.65% | 9% | –3.55% | 0.000660 |
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| E(RA) =11.65% |
| E(RB) =12.55% |
| Cov(RA,RB) =0.001898 |
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发表于 2008-4-9 15:40
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