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扑扑扑 · 2020年08月02日

问一道题：NO.PZ2018062016000143

  1. CFA I
  2. Quantitative

问题如下：

Claire payed close attention to two portfolios specializing in stocks. The two portfolios were nearly in risk(measured by standard deviation of return) during 2013-2017. Claire believed that the mean monthly return difference between the two portfolio equal to zero and gathered the data of mean monthly retun of two portfolios from 2013-2017. In order to test the hypothesis that the mean monthly return on two portfolios equal from 2013-2017, which of the following test statistic is most appropriate?

选项：

A.

a paired comparisons t-test.

B.

an approximate t-test of mean differences between the two populations.

C.

a t-test of the difference between the two population means.

解释：

A is correct. The two portfolios have the same series of risk factors, so their returns were not independent. Besides, the data is arranged in paired observations. We choose the paired comparisons t-test.

请问 approximate t-test 是啥？BC选项的population改成sample对不对？（difference between two samples mean）

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2 个答案

星星_品职助教 · 2022年09月24日

@jay1180

“The two portfolios were nearly in risk(measured by standard deviation of return) during 2013-2017”

星星_品职助教 · 2020年08月04日

同学你好，

这道题的题干主要信息在于这两个投资组合是由相同的风险驱动的，所以这两个组合的收益是不独立的。得到这个信息就可以直接选A了。B,C做t-test都需要先满足independent的前提。可以直接排除，不用管细节，都是干扰项。

 approximate t-test 是正态，独立总体，方差未知且两个方差不相等情况下的一个假设。这种概念看一下就行。

jay1180 · 2022年09月23日

这两个投资组合是由相同的风险驱动的，是哪句话啊

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