At the End of Thursday,the Estimated Covariance Between Assets a and B

question 10

Multiple Choice

At the end of Thursday,the estimated covariance between assets A and B is 0.0001.During Friday asset A produces a return of 3% and asset B produces a return of zero.An EWMA model with lambda equal to 0.9 is used.What is an estimate of the covariance at the end of Friday?

• A) 0.000090
• B) 0.000081
• C) 0.000100
• D) 0.000095

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Definitions:

Psychosurgery

A type of brain surgery, such as a lobotomy, used historically to treat mental disorders but now rarely performed and considered controversial.

Psychological Disorders

Patterns of behavioral, cognitive, emotional, or physical symptoms that lead to distress, disability, or impaired functioning.

Brain Tissue

Comprising neurons and glial cells, this tissue is fundamental to the central nervous system and is responsible for processing and transmitting information.

Prefrontal Lobotomy

Psychosurgery in which the connections of the prefrontal cortex to other areas of the brain are severed.