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| Author | Topic: Quants...Pls help understanding this Q |
|---|---|
| Luda @2014-04-24 19:43:03 |
The correlation coefficient for a series of returns on two investments is equal to 0.80. Their covariance of returns is 0.06974 . Which of the following are possible variances for the returns on the two investments? A) 0.04 and 0.19. B) 0.02 and 0.44. C) 0.08 and 0.37. |
| hamster @2014-05-01 06:13:50 |
correlation * std1 * std2 = cov take sqrt(0.04)*sqrt(0.19) * 0.8 -> gives you 0.06974 |
CFA Discussion Topic: Quants...Pls help understanding this Q
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