问一道题：NO.PZ2017092702000070

问题如下：

An analyst develops the following covariance matrix of returns:

The correlation of returns between the hedge fund and the market index is closest to:

选项：

0.005.

0.073.

0.764.

解释：

C is correct.

The correlation between two random variables Ri and Rj is defined as ρ(Ri,Rj) = Cov(Ri,Rj)/σ(Ri)σ(Rj). Using the subscript i to represent hedge funds and the subscript j to represent the market index, the standard deviations are σ(Ri) = 256^1/2 = 16 and σ(Rj) = 81^1/2= 9. Thus, ρ(Ri,Rj) = Cov(Ri,Rj)/σ(Ri) σ(Rj) = 110/(16 × 9) = 0.764

这个表格具体意思没看懂， variance 是怎么求出来的

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星星_品职助教 · 2020年09月01日

同学你好，

这道题是协方差矩阵，自己和自己的协方差就是方差，开方后即可得到标准差。例如hedge fund自己的方差就是256，market index自己的方差就是81.

hedge fund和market index之间的协方差就是110.

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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。

2022-08-10 18:39 1 · 回答

可以具体写一下计算步骤吗

2019-10-21 16:26 1 · 回答

表格看不懂。。。可以文字一下吗。十个字符字符字符？

2018-12-24 22:01 1 · 回答

我想correlation和covariance区别

2018-11-20 06:54 1 · 回答

问一道题：NO.PZ2017092702000070

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