8002 試験問題を無料オンラインアクセス

Let E(X ) = 1, E(Y ) = 3, Corr(X, Y ) = -0.2, E(X2 ) = 10 and E(Y2 ) = 13. Find the covariance between X and Y

• A.None of the above
• B.-2.8
• C.1.3
• D.-1.2

Every covariance matrix must be positive semi-definite. If it were not then:

• A.The associated correlation matrix would not be positive semi-definite
• B.All the above statements are true
• C.It could not be used to simulate correlated asset paths
• D.Some portfolios could have a negative variance

You are to perform a simple linear regression using the dependent variable Y and the independent variable X (Y = a + bX). Suppose that cov(X,Y)=10, var(X)= 5, and that the mean of X is 1 and the mean of Y is 2. What are the values for the regression parameters a and b?

• A.b=0.5, a=2.5
• B.b=2, a=0
• C.b=0.5, a=1.5
• D.b=2, a=4

Which of the following is a false statement concerning the probability density function and the cumulative distribution function of a random variable?

• A.the CDF approaches 1 as its argument approaches infinity.
• B.the definite integral of the CDF from minus infinity to plus infinity is undefined.
• C.the PDF is non-negative.
• D.the definite integral of the PDF from minus infinity to plus infinity is zero.

In a quadratic Taylor approximation, a function is approximated by:

• A.a straight line
• B.a cubic polynomial
• C.a constant
• D.a parabola