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.
这个知识点在最新2021年的教材中有出现吗?