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
The covariance of returns between the two securities is closest to:（）
A. -4.8 B. -7.2 C. -8.4
网友回答
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。