Question
Let X and Y be two random variables representing the annual returns of two different portfolios. If E[X] = 3, E[X 2 ] = 26,
Let X and Y be two random variables representing the annual returns of two different portfolios. If E[X] = 3, E[X2] = 26, E[Y] = 4, E[Y2] = 40, and E[XY] = 15, then what is the Pearson correlation between X and Y?
- -1
- 0
- 14.85%
- 1
A risk manager gathers five years of historical returns to calculate the Spearman rank correlation coefficient for stocks X and Y from 2010 to 2014 are as follows:
| Year | X | Y |
| 2010 | 5.00% | -10.00% |
| 2011 | 50.00% | -5.00% |
| 2012 | -10.00% | 20.00% |
| 2013 | -20.00% | 40.00% |
| 2014 | 30.00% | 15.00% |
What is the Spearman rank correlation coefficient for stocks returns of X and Y?
- -0.7
- -0.5
- 0.3
- 0.7
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Personal Financial Planning
Authors: Lawrence J. Gitman, Michael D. Joehnk
11th Edition
0324422865, 978-0324422863
