exercise:48cf659884: Difference between revisions
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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> | ||
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<li>0.0755</li> | <li>0.0755</li> | ||
<li>0.0795</li> | <li>0.0795</li> | ||
</ | </ul> | ||
Revision as of 20:46, 15 March 2024
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 the -0.2.
Determine the covariance of [math]r_1[/math] and [math]r_2[/math].
- 0
- 0.01317
- 0.01417
- 0.0755
- 0.0795