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水瓶公主 · 2023年02月10日

不明白第一个选项correlation为什么是coefficient开平方

NO.PZ2016062402000023

问题如下:

Which of the following statements about the linear regression of the return of a portfolio over the return of its benchmark presented below are correct?

I. The correlation is 0.71.

II. About 34% of the variation in the portfolio return is explained by variation in the benchmark return.

III. The portfolio is the dependent variable.

IV. For an estimated portfolio return of 12%, the confidence interval at 95% is (7.16%-16.84%).

选项:

A.

II and IV

B.

Ill and IV

C.

I, II, and III

D.

II,IIIand IV

解释:

The correlation is given by 0.66=0.81\sqrt{0.66}=0.81 so answer I is incorrect. Next,66% of the variation in Y is explained by the benchmark, so answer II. is incorrect. The portfolio return is indeed the dependent variable Y, so answer III. is correct. Finally, to find the 95 % two-tailed confidence interval, we use a from a normal distribution, which covers 95% within plus or minus 1.96, close to 2.00. The interval is theny2SD(e),  y+2SD(e)y-2SD{(e)},\;y+2SD{(e)} or (7.16 -16.84). So answers III. and IV. are correct.

不明白第一个选项correlation为什么是coefficient开平方

1 个答案

品职答疑小助手雍 · 2023年02月10日

同学你好,这个是定义。

correlation指的是ρ

correlation of determination指的是R方(即R^2)。

R方就是等于ρ的平方的。

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