NO.PZ2015120604000078
问题如下:
Ada has two securities: bond A and bond B. The correlation of their returns is 0.40, the covariance of two bonds is 0.0033, and the standard deviation of bond A's return is 16%. Which of the following is closest to the variance of stock B's return?
选项:
A.0.0027.
B.0.0516.
C.0.0267.
解释:
A is correct.
so,0.4=0.0033/(0.16*SB)
SB=0.0515625,variance of stock B is the square of SB
1.請問這題是使用這個公式嗎?
2.爲何這裡的16%是帶上了百分號,按照0.16計算。之前不是說%在國外計算中,像單位符號會省略,請問應該如何分辨何時要有%,何時不需要?
3.題目中給出標準方差,所以我可以理解分母Var(X)Var(Y)部分不用再開根號,帶入公式變成,0.4=0.0033/[0.16*Var(Y)], Var(Y)=(0.0033/0.4)/0.16, 最後算出Var(Y)≈0.0516,所以這個0.0516仍是標準方差(standard deviation)? 如果要得到variance(方差) of stock B's return,還要再將0.0516平方?
謝謝。