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Sofia nice · 2023年06月05日

B、C可以翻译和解释下吗

  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.

B、C可以翻译和解释下吗

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袁园_品职助教 · 2023年06月06日

嗨，努力学习的PZer你好：


题目问，为了检验两个组合的平均月度收益是否相等，所以就是检验mean。题干中的“ The two portfolios were nearly in risk(measured by standard deviation of return) during 2013-2017.”想说明两个portfolio面临的risk是一致的，并不是互相没有关系。

B，C是一个意思， 两组数据之间完全独立的时候才可以用。就是这个检验。


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2023-04-18 13:20 1 · 回答

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2022-10-16 12:11 1 · 回答

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2021-06-25 22:21 2 · 回答

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2020-08-02 12:01 2 · 回答