NO.PZ2015120604000078问题如下 A htwo securities: bonA anbonThe correlation of their returns is 0.40, the covarianof two bon is 0.0033, anthe stanrviation of bonA's return is 16%. Whiof the following is closest to the varianof bonB's return? A.0.0027.B.0.0516.C.0.0267. A is correct.so,0.4=0.0033/(0.16*SB)SB=0.0515625,varianof bonB is the square of SB=0.00266 老师,我列式得σa=0.0033/0.4*0.16=0.046875,平方后得0.002197,请问是哪里出了问题,应该怎样做才能得到题目中A的结果
NO.PZ2015120604000078 问题如下 A htwo securities: bonA anbonThe correlation of their returns is 0.40, the covarianof two bon is 0.0033, anthe stanrviation of bonA's return is 16%. Whiof the following is closest to the varianof bonB's return? A.0.0027. B.0.0516. C.0.0267. A is correct.so,0.4=0.0033/(0.16*SB)SB=0.0515625,varianof bonB is the square of SB=0.00266 老师,解析里的公式能不能详细分析一下,没看明白,谢谢。
NO.PZ2015120604000078问题如下A htwo securities: bonA anbonThe correlation of their returns is 0.40, the covarianof two bon is 0.0033, anthe stanrviation of bonA's return is 16%. Whiof the following is closest to the varianof stoB's return? A.0.0027. B.0.0516. C.0.0267. A is correct.so,0.4=0.0033/(0.16*SB)SB=0.0515625,varianof stoB is the square of SB=0.00266 1.請問這題是使用這個公式嗎?2.爲何這裡的16%是帶上了百分號,按照0.16計算。之前不是說%在國外計算中,像單位符號會省略,請問應該如何分辨何時要有%,何時不需要?3.題目中給出標準方差,所以我可以理解分母Var(X)Var(Y)部分不用再開根號,帶入公式變成,0.4=0.0033/[0.16*Var(Y)], Var(Y)=(0.0033/0.4)/0.16, 最後算出Var(Y)≈0.0516,所以這個0.0516仍是標準方差(stanrviation)? 如果要得到variance(方差) of stoB's return,還要再將0.0516平方?謝謝。
请问老师正常的公式应该是没有平方的吧?是不是因为要求方差所以才平方?