Page 52 - FINAL CFA SLIDES DECEMBER 2018 DAY 3
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LOS 9.m: Calculate and interpret co-variances given a Session Unit 2:
joint probability function, p189.
9. Probability Concepts
Example: Correlation & covariance, p189: Consider a portfolio of 3 assets, X, Y, and Z, where the individual market value
of these assets is $600, $900, and $1,500, respectively. The market weight, expected return, and variance for the
individual assets are presented below. The correlation matrix for the asset returns are shown in the following figure.
Using this information, compute the variance of the portfolio return.
