徐威廉 · 2024年01月27日
NO.PZ2019040801000072
问题如下：
Analyst Amy gathers the follwing data for the return on the market and the return on Crude Oil. Please calculate the covariance of returns between Crude Oil and the market.
Probability Matrix
选项：
A.
0.66%
B.
1.05%
C.
0.28%
D.
2.68
解释：
A is correct.
考点：Covariance
解析： Cov(A,B) = E(AB) - E(A)*E(B)
E(AB) = 30%*25%*0.3+15%*20%*0.4 +10%*0*0.3 = 3.45%
E(A) = 30%*30%+15%*40%+10%*30%= 18%
E(B) = 25%*30%+20%*40%+0*30%=15.5%
所以Cov(A,B) = E(AB) - E(A)*E(B)=0.66%
没见过这个公式，请解释一下！
NO.PZ2019040801000072问题如下Analyst Amy gathers the follwing ta for the return on the market anthe return on Cru Oil. Please calculate the covarianof returns between Cru Oil anthe market.Probability MatrixA.0.66%B.1.05%C.0.28%2.68A is correct.考点Covariance解析 Cov(A,= E(A- E(A)*E(B)E(A= 30%*25%*0.3+15%*20%*0.4 +10%*0*0.3 = 3.45%E(= 30%*30%+15%*40%+10%*30%= 18%E(= 25%*30%+20%*40%+0*30%=15.5%所以Cov(A,= E(A- E(A)*E(B)=0.66%E(A= 30%*25%*0.3+15%*20%*0.4 +10%*0*0.3 = 3.45%第三项R_oil =10%, R_mkt=0%，概率是0.03，为什么乘出来不是0，而是10%*0*0.3？
NO.PZ2019040801000072 问题如下 Analyst Amy gathers the follwing ta for the return on the market anthe return on Cru Oil. Please calculate the covarianof returns between Cru Oil anthe market.Probability Matrix A.0.66% B.1.05% C.0.28% 2.68 A is correct.考点Covariance解析 Cov(A,= E(A- E(A)*E(B)E(A= 30%*25%*0.3+15%*20%*0.4 +10%*0*0.3 = 3.45%E(= 30%*30%+15%*40%+10%*30%= 18%E(= 25%*30%+20%*40%+0*30%=15.5%所以Cov(A,= E(A- E(A)*E(B)=0.66% 这个程度的计算考试会考吗？要做4分钟
1.05% 0.28% 2.68 A is correct. 考点Covarian解析 Cov(A,= E(A- E(A)*E(E(A= 30%*25%*0.3+15%*20%*0.4 +10%*0*0.3 = 3.45% E(= 30%*30%+15%*40%+10%*30%= 18% E(= 25%*30%+20%*40%+0*30%=15.5% 所以Cov(A,= E(A- E(A)*E(B)=0.66%题都没看懂……能仔细一下吗？
E(AB)为什么是上面的那个式子？
