NO.PZ2016062402000021
问题如下:
Consider two stocks, 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%?
选项:
A.
2%
B.
2.9%
C.
4.7%
D.
1.1%
解释:
The information in this question can be used to construct a regression model of A on B. We have . Next, replacing \(\;R_B\) by 3% gives = 2% + 0.9(3% - 2%) = 2.9%.
题目那句话可以看出要这样减去0.2呀