PRMIA Exam 8007 Topic 1 Question 26 Discussion

Actual exam question for PRMIA's Mathematical Foundations of Risk Measurement ? 2015 Edition exam

Question #: 26
Topic #: 1

[All Mathematical Foundations of Risk Measurement ? 2015 Edition Questions]

Consider the linear regression model for the returns of stock A and the returns of stock B. Stock A is 50% more volatile than stock B. Which of the following statements is TRUE?

AThe stocks must be positively correlated ( )

BBeta must be positive ( )

CBeta must be greater in absolute value than the correlation of the stocks ( )

DAlpha must be positive ( )

Show Suggested Answer

Suggested Answer: C

by Nana at May 06, 2022, 01:45 PM

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