问题如下图:
选项:
A.
B.
C.
解释:表格里面的数据看不懂
NO.PZ2018062016000070 问题如下 Given the covarianmatrix above, the correlation of returns between portfolio A anportfolio B is closest to: A.0.045. B.0.1. C.0.9. C is correct. ρ(RA,R= Cov(RA,RB)/σ(Rσ(R=18/(160.5 × 250.5) =18/(4×5) =0.9 为什么COV(RARB)是等于18,S=16^0.5 S=25^0.5.不太理解这些数值为什么是这些含义
NO.PZ2018062016000070 问题如下 Given the covarianmatrix above, the correlation of returns between portfolio A anportfolio B is closest to: A.0.045. B.0.1. C.0.9. C is correct. ρ(RA,R= Cov(RA,RB)/σ(Rσ(R=18/(160.5 × 250.5) =18/(4×5) =0.9 为什么要乘0.5?
NO.PZ2018062016000070问题如下 Given the covarianmatrix above, the correlation of returns between portfolio A anportfolio B is closest to:A.0.045. B.0.1. C.0.9.C is correct. ρ(RA,R= Cov(RA,RB)/σ(Rσ(R=18/(160.5 × 250.5) =18/(4×5) =0.9如图为什么不是(4*5)的开方??
NO.PZ2018062016000070 0.1. 0.9. C is correct. ρ(RA,R= Cov(RA,RB)/σ(Rσ(R=18/(160.5 × 250.5) =18/(4×5) =0.9Rxy 和pxy两个公式之间的对比
老师好,这道题目知道运用公式correlation=cov(x,y)/S. S. 但是根据公式套入数字的时候不知道该怎么算了。能麻烦老师一下吗,最好有过程谢谢老师。