Consider two stock A and B. Assume their annual returns are jointly normally distributed, the marginal distribution of each stock has mean 2% and standard deviation 10%, and the correlation is 0.9. What is the expected annual return of stock A if the annual return of stock B is 3%?
A. 2%
B. 2.9%
C. 4.7%
D. 1.1%
the answer is B
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发表于 2012-6-15 10:47
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