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ccling · 2018年11月27日

问一道题：NO.PZ2017092702000073 [ CFA I ]

  1. CFA I
  2. Quantitative

问题如下图：

选项：

A.

B.

C.

解释：

老师，算完他的expected sales,然后不是应该算他的covariance吗？为什么这里写的是variance？

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1 个答案

菲菲_品职助教 · 2018年11月27日

同学你好，因为这题让我们求的是标准差，所以我们先算出期望，然后根据公式算出方差，再开根号就得到标准差了。这题跟协方差没有什么关系。

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NO.PZ2017092702000073 问题如下 The probability stribution for a company’s sales is:The stanrviation of sales is closest to: A.$9.81 million. B.$12.20 million. C.$32.40 million. A is correct. The analyst must first calculate expectesales 0.05 × $70 + 0.70 × $40 + 0.25 × $25 = $3.50 million + $28.00 million + $6.25 million = $37.75 million. After calculating expectesales, we ccalculate the varianof sales: = σ2 (Sales) = P($70)[$70 – E(Sales)]2 + P($40)[$40 – E(Sales)]2 + P($25)[$25 – E(Sales)]2 = 0.05($70 – 37.75)2 + 0.70($40 – 37.75)2 + 0.25($25 – 37.75)2 = $52.00 million + $3.54 million + $40.64 million = $96.18 million. The stanrviation of sales is thus σ = ($96.18)1/2 = $9.81 million. 1

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