NO.PZ2016062402000020
问题如下:
Consider the following linear regression model: Y=a+bX+e. Suppose a=0.05, b=1.2, SD(Y) = 0.26, and SD(e) = 0.1. What is the correlation between X and Y?
选项:
A.
0.923
B.
0.852
C.
0.701
D.
0.462
解释:
We can find the volatility of X from the variance decomposition, Equation: . This gives . Then SD(X) = 0.2, and .
有点奇怪啊,看了答案也没在讲义找到,相关例题,我这个是刚学完Quant Section2 筛选题库的题看到的