问题如下：
In the hedge fund company Star, there are two stocks A and B. The correlation between stock A and stock B is 0.6. Their covariance is 0.0078. Moreover, hedge fund company Star measured that the standard deviation of stock B return was 31%. What is the variance of the return of stock A?
选项：
A. 0.0481.
B. 0.0018.
C. 0.0026.
D. 0.0419.
解释：
B is correct.
考点：Covariance & Correlation Coefficient
解析：ρ(A,B) = COV(A,B) / (σA×σB)
所以σA2 =[ COV(A,B) / (ρ(A,B)×σB) ]2 = [0.0078 / (0.31×0.6)]2 = 0.04192 = 0.0018
为什么答案中的公式有平方呢？ 这题的公式，老师上课时 p50 页讲correlation的给的是公式： p（AB)= COV(A,B)/(varA*varB) 上面小三角符号打不出来就用var来表示了。 所以要求A的var那从上述公式可以演变成Var=COV(AB)/[var(B)*p(AB)]=0.0078/(0.31*0.6)=0.041935 不是吗？为何答案会有平方呢？