Financial Risk Manager Part 1

Ultimate access to all questions.

Explanation:

\text{Cov}_{ij} = \frac{\sum_{i=j=1}^{12} \left[ R_i - E(R_i) \right] \times \left[ R_j - E(R_j) \right]}{n - 1} = \frac{71.75}{11} = 6.52

\sigma_i = \sqrt{ \frac{\sum_{i=1}^{12} \left[ R_i - E(R_i) \right]^2}{n - 1} } = \sqrt{ \frac{379.90}{11} } \approx 5.88

\sigma_j = \sqrt{ \frac{\sum_{j=1}^{12} \left[ R_j - E(R_j) \right]^2}{n - 1} } = \sqrt{ \frac{135.06}{11} } \approx 3.5

r_{ij} = \frac{\text{Cov}_{ij}}{\sigma_i \times \sigma_j} = \frac{6.52}{(5.88)(3.5)} = \frac{6.52}{20.58} \approx 0.317 \approx 0.32

Explanation:

\text{Cov}_{ij} = \frac{\sum_{i=j=1}^{12} \left[ R_i - E(R_i) \right] \times \left[ R_j - E(R_j) \right]}{n - 1} = \frac{71.75}{11} = 6.52

\sigma_i = \sqrt{ \frac{\sum_{i=1}^{12} \left[ R_i - E(R_i) \right]^2}{n - 1} } = \sqrt{ \frac{379.90}{11} } \approx 5.88

\sigma_j = \sqrt{ \frac{\sum_{j=1}^{12} \left[ R_j - E(R_j) \right]^2}{n - 1} } = \sqrt{ \frac{135.06}{11} } \approx 3.5

r_{ij} = \frac{\text{Cov}_{ij}}{\sigma_i \times \sigma_j} = \frac{6.52}{(5.88)(3.5)} = \frac{6.52}{20.58} \approx 0.317 \approx 0.32

Comments (0)

No comments yet.

Other

Community

RRohit

Last updated: June 26, 2026 at 17:00

Covariance: 5.98, Correlation coefficient: 0.32

Covariance: 5.98, Correlation coefficient: 0.42

Covariance: 6.52, Correlation coefficient: 0.32

Covariance: 6.52, Correlation coefficient: 0.42