Exercise:
　　Assume the annual volatility of the market is 20% and a stock';s annual volatility is 30%. The beta of the stock is 1.2. What are the correlation and covariance, respectively, between the stock and the market?
 


 

　　解析：
　　Answer: A

Explanation:   


 

　　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.

                                         

　　Correlation measures the strength of the linear relationship between two random variables. It ranges from -1 to +1.
 

　　If X and Y are independent random variables:
 
　　If X and Y are not independent:
 

 
　　高頓網(wǎng)校搜集整理了FRM考試歷年真題匯總，來幫助想要報考FRM考試的考生，預(yù)祝大家取得優(yōu)異成績！進入題庫
        FRM考試在線高清視頻指導(dǎo)