Ly · 2021年12月23日
NO.PZ2018062016000070
问题如下：
Given the covariance matrix above, the correlation of returns between portfolio A and portfolio B is closest to:
选项：
A. 0.045.
B. 0.1.
C. 0.9.
解释：
C is correct. ρ(RA,RB) = Cov(RA,RB)/σ(RA) σ(RB) =18/(160.5 × 250.5) =18/(4×5) =0.9
Rxy 和pxy两个公式之间的对比NO.PZ2018062016000070 问题如下 Given the covarianmatrix above, the correlation of returns between portfolio A anportfolio B is closest to: A.0.045. B.0.1. C.0.9. C is correct. ρ(RA,R= Cov(RA,RB)/σ(Rσ(R=18/(160.5 × 250.5) =18/(4×5) =0.9 为什么COV（RARB）是等于18，S=16^0.5 S=25^0.5.不太理解这些数值为什么是这些含义
NO.PZ2018062016000070 问题如下 Given the covarianmatrix above, the correlation of returns between portfolio A anportfolio B is closest to: A.0.045. B.0.1. C.0.9. C is correct. ρ(RA,R= Cov(RA,RB)/σ(Rσ(R=18/(160.5 × 250.5) =18/(4×5) =0.9 为什么要乘0.5？
NO.PZ2018062016000070问题如下 Given the covarianmatrix above, the correlation of returns between portfolio A anportfolio B is closest to:A.0.045. B.0.1. C.0.9.C is correct. ρ(RA,R= Cov(RA,RB)/σ(Rσ(R=18/(160.5 × 250.5) =18/(4×5) =0.9如图为什么不是（4*5）的开方？？
老师好，这道题目知道运用公式correlation=cov（x,y）/S. S. 但是根据公式套入数字的时候不知道该怎么算了。能麻烦老师一下吗，最好有过程谢谢老师。
