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Lich · 2023年07月21日

请教老师，残差项乘积为啥不考虑呢

  1. CFA III
  2. Capital Market Expectations

NO.PZ2022122601000065

问题如下：

O'Reilly presents the factor covariance matrix for global equity and global bonds shown in Exhibit 1 and market factor sensitivities and residual risk shown in Exhibit 2.

Given the data in Exhibits 1 and 2, the covariance between Market 1 and Market 2 is closest to:

选项：

A.0.0027 B.0.0243 C.0.0225

解释：

Correct Answer: B

The covariance between Market 1 and Market 2 is calculated as follows:

M12 = (1.20 × 0.90 × 0.0225) + (0 × 0 × 0.0025) + [(1.20 × 0) + (0 × 0.90)] × 0.0022 = 0.0243.

中文解析：

市场1和市场2的协方差计算如下:

M12 =(1.20×0.90×0.0225)+ 0(0××0.0025)+[(1.20×0)+(0×0.90)]×0.0022 = 0.0243。

如题

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源_品职助教 · 2023年07月21日

嗨，爱思考的PZer你好：


二级数量告诉我们，一个方程你，残差i和残差j应该是不相关的。否则这个模型就是不对的。

所以残差的乘积就不需要考虑了。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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