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,III,and IV
解释:
The correlation is given by ,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 then ,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