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yellowjason · 2021年04月13日

这是排序问题么?

NO.PZ2017092702000072

问题如下:

Given a portfolio of five stocks, how many unique covariance terms, excluding variances, are required to calculate the portfolio return variance?

选项:

A.

10

B.

20

C.

25

解释:

A is correct.

A covariance matrix for five stocks has 5 × 5 = 25 entries. Subtracting the 5 diagonal variance terms results in 20 off-diagonal entries. Because a covariance matrix is symmetrical, only 10 entries are unique (20/2 = 10)

老师,请问可以用这个排序问题解答么?
1 个答案

星星_品职助教 · 2021年04月13日

同学你好,

可以按你写的这么做,更简单一些。

也可以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种这种方法来做。这种方式是代入公式协方差数量=n×(n-1)/2

两种方法是一样的。

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