Question：
The correlation between the historical returns of Stock A and Stock B is 0.75. If the variance of Stock A is 0.16 and the variance of Stock B is 0.09, the covariance of returns of Stock A and Stock B is closest to:
A. 0.16.
B. 0.09.
C. 0.01.
Answer = B
Cov(A,B) = ρABσAσB = 0.75 × 0.4 × 0.3 = 0.09.
CFA Level I
"Portfolio Risk and Return: Part I," Vijay Singal
Section 2.3.3
|
19年12月-22年6月考季的考生，助力通过金融第一考 |
||
|
权威名师倾情打造，助力通过金融第一考 |
||
|
为零基础学员提供学习指导 |
更多精彩：