单项选择题

An analyst gathered the following return information over a lO-year period for
two funds, Fund X and Fund Y:
Correlation (R_X,
R_Y) = 0.34 Based on this information, the population
covariance of the returns between the two funds is closest to:()

A. 4.35.
B. 7.42.
C. 31.61.

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单项选择题Which one of the following statements about correlation is FALSE（）

A. Positive covariance means that asset returns move together.
B. If two assets have perfect negative correlation, it is impossible to reduce the portfolio’s overall variance.
C. The covariance is equal to the correlation coefficient times the standard deviation of one stock times the standard deviation of the other stock.

单项选择题Which of the following is NOT an assumption of the Markowitz Portfolio Theory Investors:（）

A. view the mean of the distribution of returns as capturing the expected return.
B. maximize their expected utility over a given investment horizon.
C. view the range of the distribution of returns as capturing risk.

An analyst gathered the following return information over a lO-year period for two funds, Fund X and Fund Y: Correlation (RX, RY) = 0.34 Based on this information, the population covariance of the returns between the two funds is closest to:()

An analyst gathered the following return information over a lO-year period for
two funds, Fund X and Fund Y:
Correlation (R_X,
R_Y) = 0.34 Based on this information, the population
covariance of the returns between the two funds is closest to:()