单选题
An analyst has gathered monthly returns for two stock indexes A and B:
month
returns for Index A
returns for Index B
1
2
3
4
-6.4%
6.6%
12. 9%
3.2%
-6.2%
19.0%
-7.7%
4.0%
The covariance between Index A and Index B is closest to:
【正确答案】
B
【答案解析】[解析] E(R
A
)=(-6.4+6.6+12.9+3.2)/4=4.08
E(R
B
)=(-6.2+19.0-7.7+4.0)/4=2.28
根据上述结果和题目已知条件，计算两种股票回报率的协方差。
Cov(R
A
，R
B
)=[(-6.4-4.08)×(-6.2-2.28)+(6.6-4.08)×(19.0-2.28)+(12.9-4.08)×(-7.7-2.28)+(3.2-4.08)×(4.0-2.28)]/(4-1)=13.82