<p>Here is my answer in English:</p><p>&nbsp; Portfolio: Port = 4/6 *A + 2/6 *B,&nbsp; </p><p>&nbsp; So Cov(Port, A) = Cov(4/6 *A + 2/6 *B, A) </p><p>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; = 4/6 *Cov(A,A) + 2/6 *Cov(B,A)</p><p>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;= 4/6*Var(A) +&nbsp;&nbsp;2/6 *0&nbsp; (As A and B are independent)</p><p>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; = 4/6*(0.06)^2&nbsp;&nbsp; ( As Var(A) = Std(A)^2 = (0.06)^2 ) </p><p>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; = 0.0024</p><p>&nbsp;&nbsp; Is that clear?</p><p></p><br>alexyzhuo
&nbsp;金钱&nbsp;+20
&nbsp;奖励&nbsp;2008-9-26 9:50:06

thanks so much! very clear~<br/><br/>