Q12. The joint probability of returns, for securities A and S, are as follows: Joint .Probability Function. or Security A anti Security S Returns (Entries are joint probabilities) |
| Return on security B=30% | Return 4n security B=20% | Return on security A=25% | 0.60 | 0 | Return an security A=20% | 0 | 0.40 |
A. 3 % B. 12%a C. 24% D. 144%
答案和详解如下：
Q12.. B 07Modular L1, Vol.1, PP345-346 Study Session 2-8.i Expected return on security A= 0.6×25%+0.4×20%=15×+8%=23% Expected return on security B=0.6×30%+0.4×20%=18%+8%=26% . Cov(RaRb) = 0.6 [ (25-23) (30-26) ]+0.4[ (20-23) (20-26) ]=0.6(2×4) + 0.4 (-3×-6)=0.6 (8)+0.4(18)=4.8+7.2.=12%
| 
发表于 2007-11-5 18:38
| 
