协方差 Covariance Cov(rp, rE=P DEODOE cov(rb,rp)=σ2 peE=收益的相关系数 Correlation coefficient of returns Op=WdOD+ WEOE+ 2WDWE PDE OD OE σ=证券D收益的标准方差 Standard deviation of returns for Security D e= Standard deviation of returns for Security E 8-128-12 协方差 Covariance ρDE = 收益的相关系数Correlation coefficient of returns Cov(rＤ，rE) = ρDE sDsE Cov(rＤ，rD) = σD 2 sD = 证券D收益的标准方差 Standard deviation of returns for Security D sE = Standard deviation of returns for Security E sp 2 = wＤ 2sＤ 2 + wＥ 2sE 2 + 2wDwE ρDE σD σ E