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皓月 · 2024年09月17日

我是这么想的

* 问题详情,请 查看题干

NO.PZ202405210200000502

问题如下:

Snow's data evaluation period most likely helps reduce the potential existence of:

选项:

A.nonstationarity. B.survivorship bias. C.appraisal (smoothed) data

解释:

Changes in technological, political, legal, and regulatory environments; disruptions such as wars and other calamities; and changes in policy stances can all alter risk-return relationships. Such shifts are known as changes in regime. The statistical problem of nonstationarity occurs when different parts of a data series reflect different underlying statistical properties, regime shifts exist within the data.

By preferring asset classes with long periods of returns data and not emphasizing a specific period within that return series, Snow is trying to minimize the potential impact of nonstationarity in her CME process.

一旦时间过长,也肯定存在survivorship bias.,不好的公司都死了啊。

1 个答案

源_品职助教 · 2024年09月18日

嗨,努力学习的PZer你好:


的确,如果时间拉的的足够长,那么产生survivorship bias的概率也足够大。

但是,survivorship bias产生还有一个前提,就是倒闭的公司要被剔除统计。

但是从本题来看,并没有这个前置条件,所以不选。

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努力的时光都是限量版,加油!