exercise:48cf659884: Difference between revisions

Latest revision as of 21:24, 22 July 2024

You are given the following about the daily stock returns [math]r_1[/math] and [math]r_2[/math]:

The daily stock returns [math]r_1[/math] and [math]r_2[/math] have identical marginal distributions with an expected return equal to zero.
Given that both returns are less than -0.2, the returns are independent with a mean return of 0.05.
Given that one of the returns is greater than -0.2, the covariance equals 0.0225 and the means equal -0.25.

Determine the covariance of [math]r_1[/math] and [math]r_2[/math].

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-The daily stock returns <math>r_1</math> and <math>r_2</math> have identical marginal distributions with an expected return equal to zero. The returns are independent with a mean return of 0.05, given that both returns are less than -0.2 The covariance equals 0.0225 and the means equal -0.25, given that one return is greater than -0.2.
+You are given the following about the daily stock returns <math>r_1</math> and <math>r_2</math>:
+*The daily stock returns <math>r_1</math> and <math>r_2</math> have identical marginal distributions with an expected return equal to zero.
+*Given that both returns are less than -0.2, the returns are independent with a mean return of 0.05.
+*Given that one of the returns is greater than -0.2, the covariance equals 0.0225 and the means equal -0.25.
 Determine the covariance of <math>r_1</math> and <math>r_2</math>.