NO.PZ2018062016000067
问题如下:
The variances of Stock A and Stock B are 0.25 and 0.64 respectively, and the correlation between two securities is 0.09. What is the covariance of returns?
选项:
A.0.036.
B.0.0144.
C.0.048.
解释:
A is correct. Cov(RA,RB)=ρ*σA*σB=0.09*0.250.5*0.640.5=0.036
請問爲何要有個0.5次方,不是三個數直接相稱,我記得之前有道題是三個數直接相乘的,謝謝,