Katherine · 2023年09月11日
NO.PZ2018062016000086
问题如下：
An analyst uses a multivariate normal distribution to precisely model the returns on 3 stocks, how many parameters should he get at the beginning?
选项：
A.
6
B.
8
C.
9
解释：
C is correct. Based on relevant concept, to calculate the returns on n stocks, a multivariate normal distribution will have n means, n variances and n(n – 1)/2 distinct correlations.
In this case, 3 stocks will have 3 means, 3 variances and 3 correlation, the sum is 9.
为什么需要那些东西呢
NO.PZ2018062016000086问题如下analyst uses a multivariate normstribution to precisely mol the returns on 3 stocks, how many parameters shoulhe get the beginning?A.6B.8C.9C is correct. Baseon relevant concept, to calculate the returns on n stocks, a multivariate normstribution will have n means, n variances ann(n – 1)/2 stincorrelations.In this case, 3 stocks will have 3 means, 3 variances an3 correlation, the sum is 9.3c2算出来不是 3吗
NO.PZ2018062016000086 8 9 C is correct. Baseon relevant concept, to calculate the returns on n stocks, a multivariate normstribution will have n means, n variances ann(n – 1)/2 stincorrelations. In this case, 3 stocks will have 3 means, 3 variances an3 correlation, the sum is 9.为什么需要corelation？
这个知识点在最新2021年的教材中有出现吗？
老师，这道题能不能详细下，好像没有学过，尤其什么叫3个correlation？谢谢！
