NO.PZ2019040801000072
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%
这个程度的计算考试会考吗?要做4分钟