Arthas · 2023年06月20日
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 bond 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 bond B is the square of SB
老师，我列式得σa=0.0033/0.4*0.16=0.046875，平方后得0.002197，请问是哪里出了问题，应该怎样做才能得到题目中A选项的结果
NO.PZ2015120604000078 问题如下 A htwo securities: bonA anbonThe correlation of their returns is 0.40, the covarianof two bon is 0.0033, anthe stanrviation of bonA's return is 16%. Whiof the following is closest to the varianof bonB's return? A.0.0027. B.0.0516. C.0.0267. A is correct.so,0.4=0.0033/(0.16*SB)SB=0.0515625,varianof bonB is the square of SB=0.00266 老师，解析里的公式能不能详细分析一下，没看明白，谢谢。
NO.PZ2015120604000078问题如下A htwo securities: bonA anbonThe correlation of their returns is 0.40, the covarianof two bon is 0.0033, anthe stanrviation of bonA's return is 16%. Whiof the following is closest to the varianof stoB's return? A.0.0027. B.0.0516. C.0.0267. A is correct.so,0.4=0.0033/(0.16*SB)SB=0.0515625,varianof stoB is the square of SB=0.00266 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(stanrviation)？ 如果要得到variance(方差) of stoB's return，還要再將0.0516平方？謝謝。
请问老师正常的公式应该是没有平方的吧？是不是因为要求方差所以才平方？
公式的分母是开方的啊~答案不对吧问一道题：NO.PZ2015120604000078 [ CFA I ]
