单选题 根据下表所示的股票回报率联合概率解答问题。
表1 股票回报率的联合概率表

单选题 Given the joint probability table, the expected return of Stock A is closest to :
【正确答案】 B
【答案解析】[解析] 由表1,我们可以得到股票A回报率的概率分布表如表2
表2 股票A的概率分布表
R A -0.23 0.04 0.28
概率 0.3 0.4 0.4
因此,股票A的预期回报率(期望值)为:
E(R A )=-0.23×0.3+0.04×0.4+0.28×0.4=0.031
本题的正确选项为B。
单选题 Given the joint probability table, the variance of Stock A is closest to:
【正确答案】 B
【答案解析】[解析] σ 2 (R A )=(-0.23-0.031) 2 ×0.3+(0.04-0.031) 2 ×0.4+(0.28-0.031) 2 ×0.4=0.0453
单选题 Given the joint probability table, the standard deviation of Stock B is closest to:
【正确答案】 C
【答案解析】[解析] 由表1,我们可以得到股票B回报率的概率分布表如表3所示。
表3 股票B的概率分布表
R B 0.36 0.15 -0.08
概率 0.3 0.4 0.4
因此,股票B的预期回报率(期望值)为:
E(R B )=0.36×0.3+0.15×0.4-0.08×0.4=0.136
σ 2 (R B )=(0.36-0.136) 2 ×0.3+(0.15-0.136) 2 ×0.4+(-0.08-0.136) 2 ×0.4=0.0338
σ(R B )=0.184
单选题 Given the joint probability table, the covariance between RA and RB is closest to:
【正确答案】 A
【答案解析】[解析] Cov(R A ,R B )=P(R A1 ,R B1 )[R A1 -E(R A )][R B1 -E(R B )] +P(R A2 ,R B2 )[R A2 -E(R A )][R B2 -E(R B )] +P(R A3 ,R B3 )[R A3 -E(R A )][R B3 -E(R B )] =0.3×(-0.23-0.031)×(0.36-0.136) +0.5×(0.04-0.031)×(0.15-0.136) +0.3×(0.28-0.031)×(-0.08-0.136) =-0.03212
单选题 Given the joint probability table, the correlation between R A and R B is closest to:
【正确答案】 A
【答案解析】[解析]