开发者:上海品职教育科技有限公司隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

学习体验
App下载
手机上的品职教育

随时随地学习课程，支持音视频下载！
- 扫码下载品职教育APP
进入课程
登录 | 注册

刘茜娅 · 2023年01月03日

我有点迷糊CV和COV的区别

NO.PZ2021062201000003

问题如下：

A two-stock portfolio includes stocks with the following characteristics:

What is the standard deviation of portfolio returns？

选项：

A.

14.91%

B.

18.56%

C.

21.10%

解释：

B is correct. The covariance between the returns for the two stocks is

Cov (R1,R2) = ρ (R1,R2) σ (R1) σ(R2) = 0.20 (12) (25) = 60.

The portfolio variance is：

${\sigma ^2}{R_p} = w_1^2{\sigma ^2}({R_1}) + w_2^2{\sigma ^2}({R_2}) + 2{w_1}{w_2}Cov({R_1},{R_2})$

=(0.30)2(12)2+(0.7)2(25)2+2(0.30)(0.70)(60)

=12.96 +306.25 +25.2

=344.41

The portfolio standard deviation is：

${\sigma ^2}({R_P}) = {344.41^{1/2}} = 18.56\%$

知识点：Probability Concepts

我有点迷糊CV和COV的区别，可以麻烦解释下吗？

添加评论

0
0

2 个答案

星星_品职助教 · 2023年01月04日

@刘茜娅

1）这一组公式针对的样本的情况，即样本协方差和样本相关系数。

2）这一组公式和抽样无关。

Cov中的E为根据概率做加权平均。correlation中，上面的r为样本相关系数，这里的ρ为总体相关系数。

添加评论

2
0

星星_品职助教 · 2023年01月03日

同学你好，

CV是描述单个变量的离散程度的指标，和方差/标准差，range，MAD这些是一类的，衡量的是变量自身的风险；

Covariance / correlation是描述两个变量共同变化的指标，所以使用的范围多数都是资产组合，衡量变量之间组合在一起如何实现分散化，改善组合的风险。

添加评论

0
0

刘茜娅 · 2023年01月03日

是因为一个是Sxy和rxy采样的，而cov和p的表达是总体吗？

2
回答
0
关注
431
浏览

我要回答关注问题

相关问题

NO.PZ2021062201000003 问题如下 A two-stoportfolio inclus stocks with the following characteristics: Whis the stanrviation of portfolio returns？ A.14.91% B.18.56% C.21.10% B is correct. The covarianbetween the returns for the two stocks isCov (R1,R2) = ρ (R1,R2) σ (R1) σ(R2) = 0.20 (12) (25) = 60. The portfolio varianisσ2Rp=w12σ2(R1)+w22σ2(R2)+2w1w2Cov(R1,R2){\sigma ^2}{R_p} = w_1^2{\sigma ^2}({R_1}) + w_2^2{\sigma ^2}({R_2}) + 2{w_1}{w_2}Cov({R_1},{R_2})σ2Rp=w12σ2(R1)+w22σ2(R2)+2w1w2Cov(R1,R2)=(0.30)2(12)2+(0.7)2(25)2+2(0.30)(0.70)(60)=12.96 +306.25 +25.2=344.41The portfolio stanrviation isσ2(RP)=344.411/2=18.56%{\sigma ^2}({R_P}) = {344.41^{1/2}} = 18.56\%σ2(RP)=344.411/2=18.56% 知识点Probability Concepts 还是在portfolio里如果有AB两个产品的情况下，AB的covaraince就是portfolio的variance

2023-07-28 17:35 1 · 回答

NO.PZ2021062201000003 问题如下 A two-stoportfolio inclus stocks with the following characteristics: Whis the stanrviation of portfolio returns？ A.14.91% B.18.56% C.21.10% B is correct. The covarianbetween the returns for the two stocks isCov (R1,R2) = ρ (R1,R2) σ (R1) σ(R2) = 0.20 (12) (25) = 60. The portfolio varianisσ2Rp=w12σ2(R1)+w22σ2(R2)+2w1w2Cov(R1,R2){\sigma ^2}{R_p} = w_1^2{\sigma ^2}({R_1}) + w_2^2{\sigma ^2}({R_2}) + 2{w_1}{w_2}Cov({R_1},{R_2})σ2Rp=w12σ2(R1)+w22σ2(R2)+2w1w2Cov(R1,R2)=(0.30)2(12)2+(0.7)2(25)2+2(0.30)(0.70)(60)=12.96 +306.25 +25.2=344.41The portfolio stanrviation isσ2(RP)=344.411/2=18.56%{\sigma ^2}({R_P}) = {344.41^{1/2}} = 18.56\%σ2(RP)=344.411/2=18.56% 知识点Probability Concepts 如上

2023-07-28 17:30 1 · 回答

NO.PZ2021062201000003 问题如下 A two-stoportfolio inclus stocks with the following characteristics: Whis the stanrviation of portfolio returns？ A.14.91% B.18.56% C.21.10% B is correct. The covarianbetween the returns for the two stocks isCov (R1,R2) = ρ (R1,R2) σ (R1) σ(R2) = 0.20 (12) (25) = 60. The portfolio varianisσ2Rp=w12σ2(R1)+w22σ2(R2)+2w1w2Cov(R1,R2){\sigma ^2}{R_p} = w_1^2{\sigma ^2}({R_1}) + w_2^2{\sigma ^2}({R_2}) + 2{w_1}{w_2}Cov({R_1},{R_2})σ2Rp=w12σ2(R1)+w22σ2(R2)+2w1w2Cov(R1,R2)=(0.30)2(12)2+(0.7)2(25)2+2(0.30)(0.70)(60)=12.96 +306.25 +25.2=344.41The portfolio stanrviation isσ2(RP)=344.411/2=18.56%{\sigma ^2}({R_P}) = {344.41^{1/2}} = 18.56\%σ2(RP)=344.411/2=18.56% 知识点Probability Concepts 麻烦详细讲讲COV（R1，R2）的计算过程，谢谢

2023-03-12 22:24 1 · 回答

NO.PZ2021062201000003 问题如下 A two-stoportfolio inclus stocks with the following characteristics: Whis the stanrviation of portfolio returns？ A.14.91% B.18.56% C.21.10% B is correct. The covarianbetween the returns for the two stocks isCov (R1,R2) = ρ (R1,R2) σ (R1) σ(R2) = 0.20 (12) (25) = 60. The portfolio varianisσ2Rp=w12σ2(R1)+w22σ2(R2)+2w1w2Cov(R1,R2){\sigma ^2}{R_p} = w_1^2{\sigma ^2}({R_1}) + w_2^2{\sigma ^2}({R_2}) + 2{w_1}{w_2}Cov({R_1},{R_2})σ2Rp=w12σ2(R1)+w22σ2(R2)+2w1w2Cov(R1,R2)=(0.30)2(12)2+(0.7)2(25)2+2(0.30)(0.70)(60)=12.96 +306.25 +25.2=344.41The portfolio stanrviation isσ2(RP)=344.411/2=18.56%{\sigma ^2}({R_P}) = {344.41^{1/2}} = 18.56\%σ2(RP)=344.411/2=18.56% 知识点Probability Concepts COV为什么是这样算的？跟视频里老师讲的不一样啊

2022-11-30 07:20 1 · 回答