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knmdjja · 2021年09月10日

Sample statistics 和Multi-fator model 的对比

官网有一道题的答案解释和我们讲义的说明有些不一样,请帮忙解释一下,谢谢~


官网题:


问这个statement对不对:

Statement 3 A factor-based VCV matrix approach may result in some portfolios that erroneously appear to be riskless if any asset returns can be completely determined by the common factors or some of the factors are redundant.

答案是:

Statement 3 is correct. As long as none of the factors used in a factor-based VCV model are redundant and none of the asset returns are completely determined by the common factors, there will not be any portfolios that erroneously appear to be riskless. Therefore, a factor-based VCV matrix approach may result in some portfolios that erroneously appear to be riskless if any asset returns can be completely determined by the common factors or some of the factors are redundant.


但我们讲义是讲:

按老师上课讲的,这个“erroneously appear to be riskless” 的特点应该是Sample statistics 才对呀?上面答案这种解释怎样理解呢?


还是说“erroneously appear to be riskless” 的这种特点即会在Sample statistics出现也会在Multi-fator model 出现?



1 个答案

源_品职助教 · 2021年09月11日

嗨,努力学习的PZer你好:




看下讲义这里,说的是,只要因子不是多余的,并且资产收益不止取决于因子(残差不等于0),

那么,组合的方差就不可能等于0,这是多因素的VCV的优点。



现在题目把这个条件说反了,就是说有因子是多余的,并且资产收益都取决于因子,等于把上述的条件打破了,

那么上述结论就不成立了,就是组合的方差现在就可能等于0了。

不客气~


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