【風險管理基礎(chǔ)&定量】FRM一級每日試題精選

Assume the annual volatility of the market is 30% and a stock';s annual volatility is 50%. The beta of the stock is 1.5. What are the correlation and covariance, respectively, between the stock and the market?

Correlation Covariance

1. 0.9 0.135
2. 0.135 0.9
3. 0.9 Cannot be determined with the information given
4. 0.135 Cannot be determined with the information given

Answer: A

Explanation:

相關(guān)知識點：Covariance and Correlation

Covariance is the expected value of the product of the deviations of two random variables from their respective expected values.