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
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。
|
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 |
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。
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
|
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 |
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]
