NO.PZ2022122601000065
问题如下：
O'Reilly presents the factor covariance matrix for global equity and
global bonds shown in Exhibit 1 and market factor sensitivities and residual
risk shown in Exhibit 2.
Given the data in Exhibits 1 and 2, the covariance between Market 1 and Market 2 is closest to:
选项：
A.0.0027 B.0.0243 C.0.0225解释：
Correct Answer: B
The covariance between Market 1 and Market 2 is calculated as follows:
M12 = (1.20 × 0.90 × 0.0225) + (0 × 0 × 0.0025) + [(1.20 × 0) + (0 × 0.90)] × 0.0022 = 0.0243.
中文解析：
市场1和市场2的协方差计算如下:
M12 =(1.20×0.90×0.0225)+ 0(0××0.0025)+[(1.20×0)+(0×0.90)]×0.0022 = 0.0243。
我没学基础。看200页也没说什么啊。
我看了其他同学的提问，答复里面的截图，一张是权重，一张是协方差。题目是一张协方差，一张是系数，系数就是权重吗？
