问题如下:
Analyst Amy gathers the follwing data for the return on the market and the return on Crude Oil. Please calculate the covariance of returns between Crude Oil and the market.
Probability Matrix
选项:
A. 0.66%
B. 1.05%
C. 0.28%
D. 2.68
解释:
A is correct.
考点:Covariance
解析: Cov(A,B) = E(AB) - E(A)*E(B)
E(AB) = 30%*25%*0.3+15%*20%*0.4 +10%*0*0.3 = 3.45%
E(A) = 30%*30%+15%*40%+10%*30%= 18%
E(B) = 25%*30%+20%*40%+0*30%=15.5%
所以Cov(A,B) = E(AB) - E(A)*E(B)=0.66%
题都没看懂……能仔细解释一下吗?