表格看不懂。。。可以文字解释一下吗。十个字符字符字符?
问题如下图:
选项:
A.
B.
C.
解释:
NO.PZ2017092702000070问题如下analyst velops the following covarianmatrix of returns:The correlation of returns between the hee funanthe market inx is closest to:A.0.005. B.0.073. C.0.764. C is correct. The correlation between two ranm variables Ri anRj is fineρ(Ri,Rj) = Cov(Ri,Rj)/σ(Ri)σ(Rj). Using the subscript i to represent hee fun anthe subscript j to represent the market inx, the stanrviations are σ(Ri) = 2561/2 = 16 anσ(Rj) = 811/2 = 9. Thus, ρ(Ri,Rj) = Cov(Ri,Rj)/σ(Ri) σ(Rj) = 110/(16 × 9) = 0.764hee funreturn的方差就是256,标准差即为16;Market inx的return的方差就是81,标准差就是9。右上角的110是market inx和hee funcovariance,所以都相同均为110。然后就正常代入ρ的公式ρ=cov/(σ hee fun* σ market inx)=110/(16*9)=0.764。 老师,为什么cov等于110?看没看明白,请老师详细下,谢谢。
这个表格具体意思没看懂, varian是怎么求出来的
可以具体写一下计算步骤吗
我想correlation和covariance区别