NO.PZ2020021002000120
问题如下:
If the return process for 100 firms is a four-factor market model, then the number of parameters to be estimated is
选项:
A.
6
B.
100
C.
286
D.
406
解释:
D is correct. 406.
The number of parameters to be estimated is
MN + M(M - 1 )/2 for M common factors and N firms.
中文解析:
参数的个数=MN + M(M - 1 )/2,其中M是因子数量,N是公司的数量。
请问讲义哪了提到了这个问题?谢谢