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"quantity"exercise:Expected return on securities

来源: 正保会计网校 2020-12-18
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Questions 1:

The joint probability of returns for securities A and B are as follows:

quantity exercise:Expected return on securities

The covariance of the returns between Securities A and B is closest to:

A 、12.

B、14.

C、 13.

Questions 2:

The number of permutations that are possible when choosing 4 objects from a total of 10 objects is closest to:

A 、30.

B 、210.

C、 5,040.

View answer resolution
【Answer to question 1】A

【analysis】

A is correct. First calculate the expected returns on securities A and B with the formula:

quantity exercise:Expected return on securities

Expected return on security A = 0.6 × 25% + 0.4 × 20% = 15% + 8% = 23% 

Expected return on security B = 0.6 × 30% + 0.4 × 20% = 18% + 8% = 26% 

Then calculate the covariance of returns between securities A and B with the formula:

quantity exercise:Expected return on securities

B is incorrect. In the covariance calculation, it uses the joint probabilities in the wrong positions:

quantity exercise:Expected return on securities

【Answer to question 2】C

【analysis】

quantity exercise:Expected return on securities

A is incorrect; it is calculated as (10 – 4)!/4! = 6!/4! = 30. 

B is incorrect; it is calculated as a combination: 10!/[(10 – 4)! × (4!)] = 10!/(6! × 4!) = 210.

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