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sss.wanx_ · 2022年09月18日

请问，题目中给了standard deviation 和 mean, 那可以用CV来算dispersion吗？

  1. CFA I
  2. Quantitative

NO.PZ2018062016000051

问题如下：

Having collected mean returns for the three stocks, the analyst is now concerned about evaluating dispersion.Which of the following statements is least accurate?

选项：

A.

Based on the variance,Stock A has the highest dispersion.

B.

Based on the range,Stock C has the lowest dispersion.

C.

Based on the mean absolute deviation(MAD),Stock B has the highest dispersion.

解释：

C is correct.

MAD(A)=(|-39-2.4|+|31-2.4|+|12-2.4|+|-4-2.4|+|12-2.4|)/5=19.12

MAD(B)=(|-35-4.4|+|25-4.4|+|15-4.4|+|0-4.4|+|17-4.4|)/5=17.52

MAD(C)=(|6-2|+|-8-2|+|11-2|+|-2-2|+|3-2|)/5=5.6

Based on the MAD,Stock A has the highest dispersion.

该题题目是要求least accurate，即最不正确的。所以选择C。

请问，题目中给了standard deviation 和 mean, 那可以用CV来算dispersion吗？因为得到的答案和MAD 的答案是一样的，那用哪个一个最好？

MAD和CV的用法区别是什么呢？

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星星_品职助教 · 2022年09月18日

同学你好，

这道题三个选项中都标明了需要计算的指标，所以不能计算CV。

这道题里看不出MAD和CV的区别。

MAD一般是给出一组数据来代公式计算；CV一般是给出两组数据的standard deviation和mean，进行比较。最终还是落在题干要求计算的是什么上。

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