NO.PZ2020012201000019
问题如下:
Which of the following statements about shortcomings of “VCV Matrix with Sample Statistics” is incorrect?
选项:
A.The sample VCV method can be used if the number of assets exceeds the number of observations.
This method does not address the issue of imposing cross-sectional consistency.
C.Given typical sample sizes, this method is subject to substantial sampling error.
解释:
A is correct.
解析:
对于“VCV Matrix with Sample Statistics”这种方法,在给定典型的样本量下,该方法存在较大的抽样误差。而且这个方法没有解决强制横截面一致性的问题。所以BC选项都是该种方法的缺点。
如果资产的数量超过观察值,那么就不能使用样本VCV方法,所以A选项的说法不准确。A入选。
老师,这题三个选项都是正确的呀,是不是题目错了