问题
单项选择题
An analyst does research about covariance and gathers the following joint probability function for the return of two securities.
| Security 1 Return=10% | Security 1 Return=15% | |
| Security 2 Return=6% | 0.0 | 0.4 |
| Security 2 Return=12% | 0.6 | 0.0 |
A. -4.8
B. -7.2
C. -8.4
答案
参考答案：B
解析：
证券1的平均收益率：10%×0.6+15%×0.4=12%。
证券2的平均收益率：6%×0.4+12%×0.6=9.6%。
证券1和证券2的协方差：
0.6×(10-12)(12-9.6)+0.4×(15-12)(6-9.6)=-2.88-4.32=-7.2。