题目
Given a portfolio of five stocks, how many unique covariance terms, excluding variances, are required to calculate the portfolio return variance?
选项
A.10
B.20
C.25
答案
A
解析
： A is correct. A covariance matrix for five stocks has 5 × 5 = 25 entries. Subtracting the 5 diagonal variance terms results in 20 off-diagonal entries. Because a covariance matrix is symmetrical, only 10 entries are unique (20/2 = 10). ： A正确。 五只股票的协方差矩阵有5×5 = 25项。减去5个对角线方差项，得到20个非对角线项。因为协方差矩阵是对称的，所以只有10个协方差项是唯一的(20/2 = 10)。