Page 51 - FINAL CFA SLIDES DECEMBER 2018 DAY 3
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Session Unit 2:
LOS 9.m: Calculate and interpret co variances 9. Probability Concepts
given a joint probability function, p187.
Example: Expected value, variance, and covariance: What is the expected value, variance, and
covariance(s) for a portfolio that consists of $400 in Asset A and $600 in Asset B? The joint probabilities
of the returns of the two assets are in the following figure.
Using the weights wA = 0.40 and wB = 0.60, the expected
return and variance of the portfolio are computed as:
