NO.PZ2018062016000070
问题如下:
Given the covariance matrix above, the correlation of returns between portfolio A and portfolio B is closest to:
选项:
A.0.045.
B.0.1.
C.0.9.
解释:
C is correct. ρ(RA,RB) = Cov(RA,RB)/σ(RA) σ(RB) =18/(160.5 × 250.5) =18/(4×5) =0.9
为什么COV(RARB)是等于18,SDA=16^0.5 SDB=25^0.5.不太理解这些数值为什么是这些含义