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恬恬爱吃香菜 · 2018年06月12日

问一道题：NO.PZ2017092702000072 [ CFA I ]

  1. CFA I
  2. Quantitative

问题如下图：

选项：

A.

B.

C.

解释：

老师你好，这道题目考的知识点可以讲解一下吗，谢谢

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1 个答案

源_品职助教 · 2018年06月12日

题目的意思是：组合当中有五只股票，那么在计算组合方差的时候去掉方差，会用到几个协方差？

五个股票两两组合，去掉自己和自己组合，一共是5*4/2=10种可能。直接套用N(N-1)的公式即可。

你也可以画出5*5的方格矩阵，其中一条对角线代表了自己和自己的协方差，那就是方差。所以剩下的25-5=20个各自就是协方差。

但是A和B的协方差等于B和A的协方差。所以实际协方差数目只有20/2=10个。

 

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