题目
Let X and Y are two random variables representing the annual returns of two different portfolios. If E(X) = 3, E(Y) = 4 and E(XY) = 11, then what is the covariance?
选项
A.5
B.1
C.0
D.-1
答案
D
解析
Cov(X, Y) = E(XY) – E(X)E(Y) = 11 – 3×4 = -1Cov(X, Y) = E(XY) – E(X)E(Y) = 11 – 3×4 = -1