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追风少女田大壮 · 2025年04月27日

关于用另外一个公式求解的问题

NO.PZ2023091601000019

问题如下:

A quantitative analyst is constructing a stock selection algorithm that will be employed in making intraday trades and uses the annual returns of two utility stocks, stock A and stock B, to test the model’s capacity to capture dependence between stock returns. The 5 years of annual returns data for each stock used in the test are shown in the following table:

The analyst estimates that the sample means of the returns of stock A (μA) and stock B (μB) are 0.146 and 0.138, respectively. What is the unbiased estimate of the sample covariance of stocks A and B?

选项:

A.

0.003828

B.

0.003892

C.

0.004785

D.

0.004865

解释:

D is correct. Using the formula for the sample covariance estimator but dividing by n-1 for an unbiased estimate, we get

𝜎𝐴𝐵=1/(𝑛−1)Σ(𝑅𝐴,𝑖𝜇𝐴)(𝑅𝐵,𝑖𝜇𝐵)

Which is expanded as

1/4[(0.18−0.146)(0.32−0.138)+(0.13−0.146)(0.22−0.138)+(0.04−0.146)(0.00−0.138)+(0.30−0.146)(0.10−0.138)+(0.08−0.146)(0.05−0.138)]=(14)(0.01946)=0.004865

A is incorrect. This is the result when the two means are switched in the summation formula and the multiplier used is 1/5.

B is incorrect. This is the result when the multiplier used is 1/5 instead of 1/(5-1).

C is incorrect. This is the result when the two means are switched in the summation formula.

老师我用cov(A、B)=E(AB)- E(A)E(B)得出来是这个数字,就算用n/(n-1)调整也差距太远了,可以麻烦看看问题出在哪里吗



1 个答案

李坏_品职助教 · 2025年04月27日

嗨,爱思考的PZer你好:


E(AB)不是你那样算的。


E(AB)使用的场景是:在不同的情况下,先把每种情况下的A*B的数值算出来,然后乘以该情况发生的概率,最后求和。


但是这道题并没有不同的情况,所以不适用这个公式。

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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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NO.PZ2023091601000019 问题如下 A quantitative analyst is constructing a stoselection algorithm thatwill employein making intray tras anuses the annureturns of twoutility stocks, stoA anstoto test the mol’s capacity to capturepennbetween storeturns. The 5 years of annureturns ta for eachstousein the test are shown in the following table: The analystestimates ththe sample means of the returns of stoA (μantoB (μare 0.146 an0.138, respectively. Whis the unbiasestimate of the sample covarianof stocks A an A.0.003828 B.0.003892 C.0.004785 0.004865 is correct.Using the formula for the sample covarianestimator but ving n-1 forunbiaseestimate, we get 𝜎𝐴𝐵=1/(𝑛−1)Σ(𝑅𝐴,𝑖−𝜇𝐴)∗(𝑅𝐵,𝑖−𝜇𝐵) Whiis expans 1/4[(0.18−0.146)(0.32−0.138)+(0.13−0.146)(0.22−0.138)+(0.04−0.146)(0.00−0.138)+(0.30−0.146)(0.10−0.138)+(0.08−0.146)(0.05−0.138)]=(14)∗(0.01946)=0.004865A is incorrect.This is the result when the two means are switchein the summation formula anhe multiplier useis 1/5. B is incorrect.This is the result when the multiplier useis 1/5 insteof 1/(5-1). Cis incorrect. This is the result when the two means are switchein thesummation formul 老师好,这道题目如果按计算器要怎么计算呢我得出Sx=0.100896Sy=0.127593r=0.384118我把他们全部陈起来得到0.004945,请问这样哪里不对呢

2024-10-14 03:18 1 · 回答

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