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elwin · 2022年10月16日

risk相近为什么能证明他们dependent

  1. CFA I
  2. Quantitative

NO.PZ2018062016000143

问题如下：

Claire paid close attention to two portfolios specializing in stocks. The two portfolios were nearly in risk(measured by standard deviation of return) during 2013-2017. Claire believed that the mean monthly return difference between the two portfolio equal to zero and gathered the data of mean monthly retun of two portfolios from 2013-2017. In order to test the hypothesis that the mean monthly return on two portfolios equal from 2013-2017, which of the following test statistic is most appropriate?

选项：

A.

a paired comparisons t-test.

B.

an approximate t-test of mean differences between the two populations.

C.

a t-test of the difference between the two population means.

解释：

A is correct. The two portfolios have the same series of risk factors, so their returns were not independent. Besides, the data is arranged in paired observations. We choose the paired comparisons t-test.

risk相近说明方差相似，不能说明他们是dependent或者independent吧？

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1 个答案

星星_品职助教 · 2022年10月16日

同学你好，

承担类似的风险就说明两个组合的收益波动类似。要么都不出风险，要么都出风险。这就是收益之间互相有关系不独立。

从考试的角度出发，这里的考点关键就是看是否独立，此时题目给出类似提示，就是要说明是不独立的。

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NO.PZ2018062016000143问题如下 Claire paiclose attention to two portfolios specializing in stocks. The two portfolios were nearly in risk(measurestanrviation of return) ring 2013-2017. Claire believeththe memonthly return fferenbetween the two portfolio equto zero angatherethe ta of memonthly retun of two portfolios from 2013-2017. In orr to test the hypothesis ththe memonthly return on two portfolios equfrom 2013-2017, whiof the following test statistic is most appropriate? A.a pairecomparisons t-test. B.approximate t-test of mefferences between the two populations. C.a t-test of the fferenbetween the two population means.A is correct. The two portfolios have the same series of risk factors, so their returns were not inpennt. Besis, the ta is arrangein paireobservations. We choose the pairecomparisons t-test.B、C可以翻译和下吗

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请问 approximate t-test 是啥？BC的population改成sample对不对？（fferenbetween two samples mean）

2020-08-02 12:01 2 · 回答