开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

乔。 · 2023年12月03日

这道题我只知道n=36-2，其他的什么都看不懂，表也看不懂，麻烦帮我把步骤写一下，行么/

  1. CFA I
  2. Quantitative

NO.PZ2017092702000162

问题如下：

The following table shows the sample correlations between the monthly returns for four different mutual funds and the S&P 500. The correlations are based on 36 monthly observations. The funds are as follows:


Test the null hypothesis that each of these correlations, individually, is equal to zero against the alternative hypothesis that it is not equal to zero. Use a 5 percent significance level.





选项：

解释：

The critical t-value for n − 2 = 34 df, using a 5 percent significance level and a two-tailed test, is 2.032. First, take the smallest correlation in the table, the correlation between Fund 3 and Fund 4, and see if it is significantly different from zero. Accoding to the formula of correlaion t-test, its calculated t-value is t=1.903. This correlation is not significantly different from zero. If we take the next lowest correlation, between Fund 2 and Fund 3, this correlation of 0.4156 has a calculated t-value of 2.664. So this correlation is significantly different from zero at the 5 percent level of significance. All of the other correlations in the table (besides the 0.3102) are greater than 0.4156, so they too are significantly different from zero.

问的啥也没看懂

添加评论
1 个答案
已采纳答案

品职助教_七七 · 2023年12月04日

嗨，爱思考的PZer你好：


如果毫无思路，建议重新听一次该知识点所对应的基础班内容。并在提问时具体说明不会和需要讲解的地方。

----------

这道题考察的是correlation的假设检验，公式如截图。

①根据表格中给出的相关系数和n=36，代公式算出检验统计量。以答案解析中选择的fund 3和fund 4的相关系数r=0.3102为例，此时t-statistic代入截图公式后计算出来为1.9026.

②根据5 percent significance level，和n=36条件下查表得到t critical value=2.032。

③由于t-statistic小于了t critical value，所以不能拒绝原假设，即ρ=0.也就是不存在线性相关关系。

-----

把答案解析中涉及到Fund 2和Fund 3的r=0.4156也按照这个流程过一遍，首先代入公式得到t-statistic=2.6643，由于这个数字大于了t critical value=2.032，所以此时要拒绝原假设，即ρ≠0，这就是有线性相关关系。

------

题目要求把图里的所有的相关系数都按照这个流程检验一遍。自己计算2-3个，掌握了公式和逻辑即可。


底下的这个图看的清楚一点。每个数字都代表对应行列的fund的相关系数。

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

  • 1

    回答

  • 1

    关注

  • 259

    浏览
相关问题

NO.PZ2017092702000162问题如下The following table shows the sample correlations between the monthly returns for four fferent mutufun anthe S P 500. The correlations are baseon 36 monthly observations. The fun are follows: Test the null hypothesis theaof these correlations, invially, is equto zero against the alternative hypothesis thit is not equto zero. Use a 5 percent significanlevel. The critict-value for n − 2 = 34 , using a 5 percent significanlevel ana two-tailetest, is 2.032. First, take the smallest correlation in the table, the correlation between Fun3 anFun4, ansee if it is significantly fferent from zero. Accong to the formula of correlaion t-test, its calculatet-value is t=1.903. This correlation is not significantly fferent from zero. If we take the next lowest correlation, between Fun2 anFun3, this correlation of 0.4156 ha calculatet-value of 2.664. So this correlation is significantly fferent from zero the 5 percent level of significance. All of the other correlations in the table (besis the 0.3102) are greater th0.4156, so they too are significantly fferent from zero.这题不是N=34吗？大于30呀，5%的significant 不是等于正负1.96吗？

2024-06-16 11:44 1 · 回答

NO.PZ2017092702000162 问题如下 The following table shows the sample correlations between the monthly returns for four fferent mutufun anthe S P 500. The correlations are baseon 36 monthly observations. The fun are follows: Test the null hypothesis theaof these correlations, invially, is equto zero against the alternative hypothesis thit is not equto zero. Use a 5 percent significanlevel. The critict-value for n − 2 = 34 , using a 5 percent significanlevel ana two-tailetest, is 2.032. First, take the smallest correlation in the table, the correlation between Fun3 anFun4, ansee if it is significantly fferent from zero. Accong to the formula of correlaion t-test, its calculatet-value is t=1.903. This correlation is not significantly fferent from zero. If we take the next lowest correlation, between Fun2 anFun3, this correlation of 0.4156 ha calculatet-value of 2.664. So this correlation is significantly fferent from zero the 5 percent level of significance. All of the other correlations in the table (besis the 0.3102) are greater th0.4156, so they too are significantly fferent from zero. 请问老师，前4个基金和第5个有什么区别？无论名字还是题干的描述，总觉得和前4个不一样，导致解题时候也想把第5个进行特殊考虑

2024-05-25 11:11 1 · 回答

NO.PZ2017092702000162问题如下The following table shows the sample correlations between the monthly returns for four fferent mutufun anthe S P 500. The correlations are baseon 36 monthly observations. The fun are follows: Test the null hypothesis theaof these correlations, invially, is equto zero against the alternative hypothesis thit is not equto zero. Use a 5 percent significanlevel. The critict-value for n − 2 = 34 , using a 5 percent significanlevel ana two-tailetest, is 2.032. First, take the smallest correlation in the table, the correlation between Fun3 anFun4, ansee if it is significantly fferent from zero. Accong to the formula of correlaion t-test, its calculatet-value is t=1.903. This correlation is not significantly fferent from zero. If we take the next lowest correlation, between Fun2 anFun3, this correlation of 0.4156 ha calculatet-value of 2.664. So this correlation is significantly fferent from zero the 5 percent level of significance. All of the other correlations in the table (besis the 0.3102) are greater th0.4156, so they too are significantly fferent from zero.用老师课上教的方法该怎么做？

2024-03-08 16:04 1 · 回答

NO.PZ2017092702000162 问题如下 The following table shows the sample correlations between the monthly returns for four fferent mutufun anthe S P 500. The correlations are baseon 36 monthly observations. The fun are follows: Test the null hypothesis theaof these correlations, invially, is equto zero against the alternative hypothesis thit is not equto zero. Use a 5 percent significanlevel. The critict-value for n − 2 = 34 , using a 5 percent significanlevel ana two-tailetest, is 2.032. First, take the smallest correlation in the table, the correlation between Fun3 anFun4, ansee if it is significantly fferent from zero. Accong to the formula of correlaion t-test, its calculatet-value is t=1.903. This correlation is not significantly fferent from zero. If we take the next lowest correlation, between Fun2 anFun3, this correlation of 0.4156 ha calculatet-value of 2.664. So this correlation is significantly fferent from zero the 5 percent level of significance. All of the other correlations in the table (besis the 0.3102) are greater th0.4156, so they too are significantly fferent from zero.

2024-02-27 11:28 1 · 回答

NO.PZ2017092702000162 问题如下 The following table shows the sample correlations between the monthly returns for four fferent mutufun anthe S P 500. The correlations are baseon 36 monthly observations. The fun are follows: Test the null hypothesis theaof these correlations, invially, is equto zero against the alternative hypothesis thit is not equto zero. Use a 5 percent significanlevel. The critict-value for n − 2 = 34 , using a 5 percent significanlevel ana two-tailetest, is 2.032. First, take the smallest correlation in the table, the correlation between Fun3 anFun4, ansee if it is significantly fferent from zero. Accong to the formula of correlaion t-test, its calculatet-value is t=1.903. This correlation is not significantly fferent from zero. If we take the next lowest correlation, between Fun2 anFun3, this correlation of 0.4156 ha calculatet-value of 2.664. So this correlation is significantly fferent from zero the 5 percent level of significance. All of the other correlations in the table (besis the 0.3102) are greater th0.4156, so they too are significantly fferent from zero. 完全没有看懂题目，为什么会选择FUN和FUN呢？看不出来最后是问什么的，是要把所有的5个基金，两两组合，分别看是否在拒绝域吗？要做10次吗？

2024-01-14 11:37 1 · 回答