11.The correlation coefficient between stocks A and B is 0.75. The standard deviation of stock A’s returns is 16% and the standard deviation of stock B’s returns is 22%. What is the covariance between stock A and B?

A)   0.0352.

B)   0.3750.

C)   0.0264.

D)   0.7272.

12.Stock A has a standard deviation of 10.00. Stock B also has a standard deviation of 10.00. If the correlation coefficient between these stocks is - 1.00, what is the covariance between these two stocks?

A)   0.00.

B)   1.00.

C)   -100.00.

D)   100.00.

13.If the standard deviation of asset A is 12.2 percent, the standard deviation of asset B is 8.9 percent, and the correlation coefficient is 0.20, what is the covariance between A and B?

A)   0.0031.

B)   0.0001.

C)   0.0003.

D)   0.0022.

14.If the standard deviation of asset A is 3.2 percent, the standard deviation of asset B is 6.8 percent, and the correlation coefficient is –0.40, what is the covariance between A and B?

A)   -0.0015.

B)   -0.0021.

C)   -0.0048.

D)   -0.0009.

15.Which one of the following statements about correlation is FALSE?

A)   Positive covariance means that asset returns move together.

B)   If two assets have perfect negative correlation, it is impossible to reduce the portfolio's overall variance.

C)   The covariance is equal to the correlation coefficient times the standard deviation of one stock times the standard deviation of the other stock.

D)   A zero covariance implies there is no linear relationship between the two variables.

答案和详解如下：

11.The correlation coefficient between stocks A and B is 0.75. The standard deviation of stock A’s returns is 16% and the standard deviation of stock B’s returns is 22%. What is the covariance between stock A and B?

A)   0.0352.

B)   0.3750.

C)   0.0264.

D)   0.7272.

The correct answer was C)

cov_1,2 = 0.75 * 0.16 * 0.22 = 0.0264 = covariance between A and B.

12.Stock A has a standard deviation of 10.00. Stock B also has a standard deviation of 10.00. If the correlation coefficient between these stocks is - 1.00, what is the covariance between these two stocks?

A)   0.00.

B)   1.00.

C)   -100.00.

D)   100.00.

The correct answer was C)

Covariance = correlation coefficient * standard deviation_{Stock 1} * standard deviation_{Stock 2} = (- 1.00)(10.00)(10.00) = - 100.00.

13.If the standard deviation of asset A is 12.2 percent, the standard deviation of asset B is 8.9 percent, and the correlation coefficient is 0.20, what is the covariance between A and B?

A)   0.0031.

B)   0.0001.

C)   0.0003.

D)   0.0022.

The correct answer was D)

The formula is: (correlation)(standard deviation of A)(standard deviation of B) = (0.20)(0.122)(0.089) = 0.0022.

14.If the standard deviation of asset A is 3.2 percent, the standard deviation of asset B is 6.8 percent, and the correlation coefficient is –0.40, what is the covariance between A and B?

A)   -0.0015.

B)   -0.0021.

C)   -0.0048.

D)   -0.0009.

The correct answer was D)

The formula is: (correlation)(standard deviation of A)(standard deviation of B) = (–0.40)(0.032)(0.068) = –0.00087.

15.Which one of the following statements about correlation is FALSE?

A)   Positive covariance means that asset returns move together.

B)   If two assets have perfect negative correlation, it is impossible to reduce the portfolio's overall variance.

C)   The covariance is equal to the correlation coefficient times the standard deviation of one stock times the standard deviation of the other stock.

D)   A zero covariance implies there is no linear relationship between the two variables.

The correct answer was B)

This statement should read, "If two assets have perfect negative correlation, it is possible to reduce the portfolio's overall variance to zero."