题目
Roy Thomson, a global investment risk manager of FBN Bank, is assessing markets A and B using a two-factor model. In order to determine the covariance between markets A and B, Thomson developed the following factor covariance matrix for global assets:
「huixue_img/importSubject/1564169385877311488.jpeg」
Suppose the factor sensitivities to the global equity factor are 0.75 for market A and 0.45 for market B, and the factor sensitivities to the global bond factors are 0.2 for market A and 0.65 for market B. The covariance between market A and Market B is closest to:
选项
A.-0.215
B.-0.113
C.0.113
D.0.215
答案
C
解析
「huixue_img/importSubject/1564169385915060224.jpeg」