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🐒我叫🐒🐒🐒猴儿🐒 · 2020年08月31日

问一道题:NO.PZ2019040801000072 [ FRM I ]

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?
1 个答案
已采纳答案

品职答疑小助手雍 · 2020年09月01日

嗨,爱思考的PZer你好:


这是二元离散型随机变量求数学期望(这个离散部分只在三种情况下有概率,这是表格表达的意思)。后面求期望:比如第一项30%*25%*0.3,对应着就是R_oil =30%, R_mkt=25%时的情况。除了这三种情况,乘积都是0,所以就没写。

最终把求出的期望套进求协方差的公式里直接出结果。


-------------------------------
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