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简敏敏 · 2021年02月20日

问一道题:NO.PZ2018062016000051 [ CFA I ]

问题如下:

Having collected mean returns for the three stocks, the analyst is now concerned about evaluating dispersion.Which of the following statements is least accurate?

选项:

A.

Based on the variance,Stock A has the highest dispersion.

B.

Based on the range,Stock C has the lowest dispersion.

C.

Based on the mean absolute deviation(MAD),Stock B has the highest dispersion.

解释:

C is correct.

MAD(A)=(|-39-2.4|+|31-2.4|+|12-2.4|+|-4-2.4|+|12-2.4|)/5=19.12

MAD(B)=(|-35-4.4|+|25-4.4|+|15-4.4|+|0-4.4|+|17-4.4|)/5=17.52

MAD(C)=(|6-2|+|-8-2|+|11-2|+|-2-2|+|3-2|)/5=5.6

Based on the MAD,Stock A has the highest dispersion.

老师你好,A、B答案为什么是正确的?
1 个答案

星星_品职助教 · 2021年02月20日

同学你好,

A选项中,衡量离散程度的指标是variance。variance是standard deviation的平方。所以观察题干表格的最后一行,Stock A 的standard deviation最大,所以对应的variance也最大。A选项描述正确。

B选项中,衡量离散程度的指标是Range,Range=最大值-最小值。Range A=31-(-39)=70;Range B=25-(-35)=60;Range C=11-(-8)=19。可以看处Stock C的range最小,B选项描述正确。

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