residual risk是残差还是残差的平方?

NO.PZ2022122601000065

问题如下：

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

Given the data in Exhibits1 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 covariancebetween 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。

本题虽未用上，最右列给的是残差Ⓔ还是它的平方？因为老师说了残差的平方肯定不为0。什么时候用到残差的一次方，什么时候用残差的平方呢?

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1 个答案

源_品职助教 · 2025年03月31日

嗨，从没放弃的小努力你好：

查了下现在的原版书，并没有明确说明“RESIDUAL RISK”是残差还是平方的概念。

不过根据过去协会发布的题目来看，应该理解为平方的概念比较好。

计算时候都是直接带入RESIDUAL RISK，也就是说计算只考察平方的概念。

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努力的时光都是限量版，加油！

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