问题如下图:
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什么叫unique covanrance terms?这道题不太明白
菲菲_品职助教 · 2018年08月29日
同学你好,这道题可以从两个角度来理解。
题目的意思是,在一个投资组合中有5个股票,有多少种计算协方差的组合(除去方差,即每只股票跟自身的组合),去计算整个portfolio的方差。“unique covanrance terms”就是指除去重复的,除去跟自身的协方差组合。
第一种思路是,把这五种股票排列成一个5*5的协方差矩阵,一共有25组。对角线上的为自己跟自己的组合(variance),共有五组,要减去,就剩下了20组。因为这个协方差矩阵是对称的,所以对角线左边三角形和右边三角形组合其实是一样的,所以相当于在这25种组合中最终只有20/2=10组协方差的组合可以用来计算整个portfolio的方差。矩阵可参考下图:
第二种思路就是用排列组合中组合的思路。从5个股票中选取两个进行协方差组合,不考虑排序,因为不管怎么排序都不会影响最后的结果,所以就是5C2=10。这个思路扩展来就是,以后遇到这种形式的问题,设一个组合里有n个股票,协方差一定是两两组合,所以就有nC2种组合形式。
加油~
NO.PZ2017092702000072 问题如下 Given a portfolio of five stocks, how many unique covarianterms, exclung variances, are requireto calculate the portfolio return variance? A.10 B.20 C.25 A is correct.A covarianmatrix for five stocks h5 × 5 = 25 entries. Subtracting the 5 agonvarianterms results in 20 off-agonentries. Because a covarianmatrix is symmetrical, only 10 entries are unique (20/2 = 10)根据五个股票两两组合,去掉自己和自己组合,一共是5*4/2=10种 是要求这个portfolio的variance,那就应该知道五个数的variance, 还有五个数两两组合的covariance。covariance是10个,但是不是还有五个variance吗,应该是15个才对啊?
NO.PZ2017092702000072问题如下Given a portfolio of five stocks, how many unique covarianterms, exclung variances, are requireto calculate the portfolio return variance?A.10 B.20 C.25 A is correct.A covarianmatrix for five stocks h5 × 5 = 25 entries. Subtracting the 5 agonvarianterms results in 20 off-agonentries. Because a covarianmatrix is symmetrical, only 10 entries are unique (20/2 = 10)根据五个股票两两组合,去掉自己和自己组合,一共是5*4/2=10种 这个题是依据哪个部分讲的
NO.PZ2017092702000072 问题如下 Given a portfolio of five stocks, how many unique covarianterms, exclung variances, are requireto calculate the portfolio return variance? A.10 B.20 C.25 A is correct.A covarianmatrix for five stocks h5 × 5 = 25 entries. Subtracting the 5 agonvarianterms results in 20 off-agonentries. Because a covarianmatrix is symmetrical, only 10 entries are unique (20/2 = 10)根据五个股票两两组合,去掉自己和自己组合,一共是5*4/2=10种 how many unique covarianterms, exclung variances - 可以仔细讲解一下这句什么意思吗?我觉得这道题和讲义给出的Combination的定义以及例题都不太一样,很难理解...
NO.PZ2017092702000072问题如下Given a portfolio of five stocks, how many unique covarianterms, exclung variances, are requireto calculate the portfolio return variance? A.10 B.20 C.25 A is correct.A covarianmatrix for five stocks h5 × 5 = 25 entries. Subtracting the 5 agonvarianterms results in 20 off-agonentries. Because a covarianmatrix is symmetrical, only 10 entries are unique (20/2 = 10)根据五个股票两两组合,去掉自己和自己组合,一共是5*4/2=10种 請問哪裡判斷出是兩兩組合?謝謝。
NO.PZ2017092702000072 20 25 A is correct. A covarianmatrix for five stocks h5 × 5 = 25 entries. Subtracting the 5 agonvarianterms results in 20 off-agonentries. Because a covarianmatrix is symmetrical, only 10 entries are unique (20/2 = 10) 根据五个股票两两组合,去掉自己和自己组合,一共是5*4/2=10种 可以详细讲一下吗?我觉得用20 C 5就可以算。但还想听一下具体的解题思路。