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wenxing · 2018年11月08日

问一道题:NO.PZ2015121801000068 [ CFA I ]

问题如下图:这道题如何计算的呢?怎么看此类型的图

选项:

A.

B.

C.

解释:

1 个答案

Shimin_CPA税法主讲、CFA教研 · 2018年11月08日

以1、2资产的相关性计算为例,使用计算器:

[2nd][7]进入data模式,依次输入X01=12,Y01=12;X02=0,Y02=6;X03=6,Y03=0,

然后[2nd][8]进入STAT模式,一直按下箭头,直到屏幕出现r=,算出来是0.5。说明两组数据的相关性=0.5。

 

这个表格的意思是,资产1,在outcome 1的情况下,收益率是12%。就比如说,它在经济好的时候收益率是12%,经济不好的时候收益率是0%,经济一般的时候收益率是6%。题干中说这三个结果发生概率相同,你可以看成是经济好、不好、一般发生的概率各为1/3.

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