题目
US and Spanish bonds have return standard deviations of 0.64 and 0.56, respectively. If the correlation between the two bonds is 0.24, the covariance of returns is closest to:
选项
A.0.086.
B.0.335.
C.0.390.
答案
A
解析
： A is correct. The covariance is the product of the standard deviations and correlation using the formula Cov(US bond returns, Spanish bond returns) = σ(US bonds) × σ (Spanish bonds) × ρ(US bond returns, Spanish bond returns) = 0.64 × 0.56 × 0.24 = 0.086. ： A正确。 协方差是标准差和相关系数的乘积，用以下公式计算：Cov(美国债券的回报,西班牙债券的回报)=σ(美国国债)×σ(西班牙债券)×ρ(美国债券的回报,西班牙债券的回报)= 0.64×0.56×0.24 = 0.086。