NO.PZ2023060502000006
问题如下:
An analyst produces the following joint probability function for a foreign index
(FI) and a domestic index (DI).
The covariance of returns on the foreign index and the returns on the domestic
index is closest to:
选项:
A.
26.39
B.
26.56.
C.
28.12.
解释:
B is correct. The covariance is 26.56, calculated as follows. First, expected returns
are
E(RFI) = (0.25 × 25) + (0.50 × 15) + (0.25 × 10)
= 6.25 + 7.50 + 2.50 = 16.25 and
E(RDI) = (0.25 × 30) + (0.50 × 25) + (0.25 × 15)
= 7.50 + 12.50 + 3.75 = 23.75.
Covariance is
= 0.25[(25 – 16.25)(30 – 23.75)] + 0.50[(15 – 16.25)(25 – 23.75)] +0.25[(10 – 16.25)(15 – 23.75)]
= 13.67 + (–0.78) + 13.67 = 26.56.
题目中如果一个本币组合同时与两个外币都有joint probability该怎样计算呢?