An analyst does research about the covaria

问题单项选择题

An analyst does research about the covariance of returns and gathers the following information about the retums of two securities:

The covariance of returns between Security 1 and Security 2 is closest to:（）

A. -36

B. -64

C. -96

答案

参考答案：C

解析：

Security 1的平均收益=0.6×0%+0.4×20%=8%，Security 2的平均收益=0.6×20%+0.4×0%=12%，协方差=0.6×(0-8)×(20-12)+0.4×(20-8)×(0-12)=-96。