NO.PZ2020012201000020
问题如下：
Which of the following statements regarding the advantages of "A factor-model-based VCV matrix " is incorrect?
选项：
A.This method can be used even if the number of assets exceeds the number of observations.
B.This method can substantially reduce the number of unique parameters to be estimated,
the VCV matrix will be correct on average
解释：
C is correct.
解析：
对于A factor-model-based VCV matrix " 这种方法，即使资产的数量超过观测值的数量也可以使用。而且它可以大大减少需要估计的参数的数量。所以AB选项说法正确。
但平均而言，VCV矩阵是不准确的，因为这种方法是有偏的。所以C选项的说法是不正确的。入选。
所以总结一下就是
Sample Ststistics = Constant VCV matrix with sample statistics >>> unbiased and consistent ； 如果number of assets 超过 number of historical observations 不可使用； cross-sectional consistency不能解决; sampling error
Multi-Factor Model >>> Biased and Inconsistent; 可以处理large number of assets; 减少number of parameters to be used ; 减少estimation error; cross-sectional strucutre
Shrinkage Estiamtion= Factor-model based VCV Matrix >>> Biased and Inconsistent?? 提高efficiency
