S
sarita
Guest
Dear David, kindly see the below questions:
consider two stocks, A and B. Assume their annual returns are jointly normaly distributed, the marginal distribution of each stock has mean 2% and standard deviation of 10%, an corrolation of 0.9. what is the expected return of stock A if the annual return of stock B is 3%.
1)2%
2)2.9%
3)4.7%
4)1.1%
The answer is 2.9%.. however, shouldn't be 2.7%..(3%*.9)??
It's a very simple question; however, i can't get 2.9%.
Best,
s
consider two stocks, A and B. Assume their annual returns are jointly normaly distributed, the marginal distribution of each stock has mean 2% and standard deviation of 10%, an corrolation of 0.9. what is the expected return of stock A if the annual return of stock B is 3%.
1)2%
2)2.9%
3)4.7%
4)1.1%
The answer is 2.9%.. however, shouldn't be 2.7%..(3%*.9)??
It's a very simple question; however, i can't get 2.9%.
Best,
s
