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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. | 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>. | Determine the covariance of <math>r_1</math> and <math>r_2</math>. | ||
< | <ul class="mw-excansopts"> | ||
<li>0</li> | <li>0</li> | ||
<li>0.01317</li> | <li>0.01317</li> | ||
| Line 9: | Line 13: | ||
<li>0.0755</li> | <li>0.0755</li> | ||
<li>0.0795</li> | <li>0.0795</li> | ||
</ | </ul> | ||
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].
- 0
- 0.01317
- 0.01417
- 0.0755
- 0.0795