PRMIA Exam 8007 Topic 1 Question 42 Discussion

Actual exam question for PRMIA's 8007 exam

Question #: 42
Topic #: 1

Every covariance matrix must be positive semi-definite. If it were not then:

ASome portfolios could have a negative variance

BIt could not be used to simulate correlated asset paths

CThe associated correlation matrix would not be positive semi-definite

DAll the above statements are true

Show Suggested Answer

Suggested Answer: D

by Elke at Aug 24, 2022, 05:23 AM

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