400-700-9596

首页>FRM经验分享>FRM二级经验>【FRM每日一题】一级:风险管理&定量

【FRM每日一题】一级:风险管理&定量

发表时间:2015/11/25 14:03:39 编辑:小T 告诉小伙伴:
0

[编考按]Assume the annual volatility of the market is 30% and a stock´s annual volatility is 50%. The beta of the stock is 1.5. What are the correlation and covariance, respectively, between the stock and the market...

   Assume the annual volatility of the market is 30% and a stock';s annual volatility is 50%. The beta of the stock is 1.5. What are the correlation and covariance, respectively, between the stock and the market?

  Correlation Covariance

  A.0.9 0.135

  B.0.135 0.9

  C.0.9 Cannot be determined with the information given

  D.0.135 Cannot be determined with the information given

  Answer: A

  Explanation:

  

  相关知识点:Covariance and Correlation

  Covariance is the expected value of the product of the deviations of two random variables from their respective expected values.

最新直播 课程主题: 老梁说FRM之面面观开课时间: 09 月 19 日  |   07-30-00- 09-00-00

全国分校
TOP

登录金程教育

注册金程帐号合作帐号直接登录

注册金程教育

  •   验证码

  • 同意金程的《用户协议》

已有账号马上登录合作帐号直接登录