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发表于 2011-7-11 19:48 | 只看该作者

covariance question

stocks, returns, question, following

Litner and Cabell perform a factor analysis of stocks FGI and VCC. Using a world index “S” and a world bond index “B” in a two-factor model, they compute the following estimated equations for the returns of FGI and VCC respectively:

RFGI = 1.4

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ohai

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发表于 2011-7-11 19:48 | 只看该作者

I can't read it. If you make it legible I will get it first try.

RFGI = 1.4

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infinitybenzo

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发表于 2011-7-11 19:48 | 只看该作者

(1.4*.8*.04) + (-.2 * .1 *.007) + [(1.4)(.1) + (.8)(-.2)].01 = .0448 + -.00014 + -.0002 = .04446.

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liangfeng

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发表于 2011-7-11 19:48 | 只看该作者

A) 0.0244.
B) 0.0488.
C) 0.0445.
Your answer: B was incorrect. The correct answer was C) 0.0445.

Cov(i,j) = βi,1βj,1σ2F1 + βi,2βj,2σ2F2 + (βi,1βj,2 + βi,2βj,1)Cov(F1,F2)
Cov(i,j) = (1.4

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lcw77

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发表于 2011-7-11 19:48 | 只看该作者

Yeah it is very small. The issue is they gave an example that only showed covariance between equity markets. Briefly touching on the full formula.

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Colum

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发表于 2011-7-11 19:48 | 只看该作者

Remember it like this.

It will be much easier.

(A * B * Factor 1) + (C * D * Factor 2) + [(A * D * Covariance Factor) + (B * C * Covariance Factor)]

Where chart is written.
Stock Bond
A C
B D

Edited 1 time(s). Last edit at Thursday, May 26, 2011 at 07:06PM by Paraguay.

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Darien