题目
An analyst produces the following joint probability function for a foreign index (FI) and a domestic index (DI).「huixue_img/importSubject/1564548692206292992.png」The covariance of returns on the foreign index and the returns on the domestic index is closest to:
选项
A.26.39.
B.26.56.
C.28.12.
答案
B
解析
B is correct. The covariance is 26.56, calculated as follows. First, expected returns are「huixue_img/importSubject/1564548692281790464.png」
B正确。 协方差为26.56，计算方法如下:首先，预期回报是: E(RFI) =(0.25×25)＋(0.50×15)＋(0.25×10)= 6.25 ＋ 7.50 ＋ 2.50 = 16.25 和 E(RDI) =(0.25×30)＋ (0.50×25) ＋(0.25×15)= 7.50＋ 12.50 ＋ 3.75 = 23.75。 Covariance is Cov(RFI,RDI) = 0.25[(25 – 16.25)(30 – 23.75)]＋ 0.50[(15 – 16.25)(25 – 23.75)]＋ 0.25[(10 – 16.25)(15 – 23.75)]= 13.67 ＋ (–0.78) ＋13.67 = 26.56.