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