10. The joint probability of returns, for securities A, and B are as follows:
| Joint Probability Function of Security A and Security B Returns(Entries are joint probabilities) |
| Return on security B= 30% | Return on security B= 20% | Return on security A= 25% | 0.60 | 0 | Return on security A= 20% | 0 | 0.40 |
The covariance of the returns between securities A and B is closest to:
Select exactly 1 answers from the following:
A. 3%. B. 12%. C. 24%. D. 144%.答案和详解如下！
Feedback: Correct answer: B
Quantitative Methods for Investment Analysis, 2nd edition, Richard A. Defusco, Dennis W. McLeavey, Jerald E. Pinto, and David E. Runkel (CFA Institute, 2004), pp. 209-210 2006 Modular Level I, Vol. I, pp. 371-372Study Session 2-9-q calculate covariance given a joint probability function
Cov (RA,RB) = .6 [(25 - 23) (30 - 26) +.4 [(20 - 23) (20 - 26)] = .6 (2 x 4) + .4 (-3 x -6) = .6 (8) +.4 (18) = 4.8 + 7.2 = 12%.
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发表于 2006-11-21 11:35
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