单选题 An analyst gathered the following data on Stock A and Stock B:
Scenario
Probability
Stock A"s return
Stock B"s return
1
0.5
0.30
0.150
2
0.5
0.15
0.075
What is the covariance between the returns of Stock A and Stock B?
【正确答案】 B
【答案解析】Covariance A,B = Summation of t = 1 to n of (prob) (R A - Mean A ) (R B - Mean B )
Mean A =0.5×0.3+0.5×0.15=0.225
Mean B =0.5×0.15+0.5×0.075=0.1125
Covariance =0.5×0.3-0.225×(0.15-0.1125)+0.5×(0.15-0.225)×(0.075-0.1125)=+0.0028
Note: This is the covariance, it is in return units squared (0.28% 2 ). It is not the correlation coefficient, which is a pure number between +1 and -1.