fw · 2020年10月23日
问题如下：
Given the probability matrix above, what is the covariance of returns on Portfolio A and Portfolio B?
选项：
A.0.02
B.-0.0546
C.-0.16
解释：
B is correct.
E(RA)=0.4*(-10%)+0.3*10%+0.3*30%=8%
E(RB)=0.4*50%+0.3*20%+0.3*(-30%)=17%
Cov(RA,RB)=0.4*(-10%-8%)*(50%-17%)+0.3*(10%-8%)*(20%-17%)+0.3*(30%-8%)*(-30%-17%)= -0.0546
没有看懂解析可以详细解答下吗？
NO.PZ2018062016000075 问题如下 Given the probability matrix above, whis the covarianof returns on Portfolio A anPortfolio A.0.02 B.-0.0546 C.-0.16 B is correct. E(RA)=0.4*(-10%)+0.3*10%+0.3*30%=8%E(RB)=0.4*50%+0.3*20%+0.3*(-30%)=17%Cov(RA,RB)=0.4*(-10%-8%)*(50%-17%)+0.3*(10%-8%)*(20%-17%)+0.3*(30%-8%)*(-30%-17%)= -0.0546 Cov(RA,RB)=0.4*(-10%-8%)*(50%-17%)+0.3*(10%-8%)*(20%-17%)+0.3*(30%-8%)*(-30%-17%) 请问这个求COV我看跟求组合方差是一样的，唯一的不同只是求组合方差需要算到平均距离的平方是吗？所以求COV跟求方差的公式差不多？
NO.PZ2018062016000075 请问0.4*(-10%-8%)*(50%-17%)+0.3*(10%-8%)*(20%-17%)+0.3*(30%-8%)*(-30%-17%)= -0.0546， 这一串有没有办法一口气按下来，一口气按下来，答案是错的。还是说要分三步去计算呢
NO.PZ2018062016000075 -0.0546 -0.16 B is correct. E(RA)=0.4*(-10%)+0.3*10%+0.3*30%=8% E(RB)=0.4*50%+0.3*20%+0.3*(-30%)=17% Cov(RA,RB)=0.4*(-10%-8%)*(50%-17%)+0.3*(10%-8%)*(20%-17%)+0.3*(30%-8%)*(-30%-17%)= -0.0546老师，cov小于0，说明两个随机变量反向，我没明白是什么意思。
-0.0546 -0.16 B is correct. E(RA)=0.4*(-10%)+0.3*10%+0.3*30%=8% E(RB)=0.4*50%+0.3*20%+0.3*(-30%)=17% Cov(RA,RB)=0.4*(-10%-8%)*(50%-17%)+0.3*(10%-8%)*(20%-17%)+0.3*(30%-8%)*(-30%-17%)= -0.0546题目中的表格是什么意思，没有看懂
