问题如下:
Previous question:
An investment has probabilities of 0.1, 0.3, 0.2, 0.3, and 0.1 of giving one-year returns equal to 30%, 20%,10%, 0%, and -10%.
Suppose that there are two investments with the same probability distribution of returns as in the previous question. What is the total mean and standard deviation of returns if the correlation between them is 0.2?
选项:
解释:
The total mean return is 10%. The standard deviation of returns is [(0.5 × 0.118)^2 + (0.5 × 0.118)^2+ 2 × 0.5 × 0.5 × 0.118 × 0.118 × 0.2]^0.5 = 0.0914 or 9.14%.
0.5,0.118怎么来的呢,老师