NO.PZ2020012201000021
问题如下：
Which of the following statements regarding "Shrinkage Estimation of VCV Matrices " is incorrect?
选项：
A. Shrinkage estimation—a weighted average of the sample VCV and factor-based VCV matrices—will increase (or at least not decrease) the efficiency of the estimates.
B. The shrinkage estimator captures the benefits of each underlying methodology and mitigates their respective limitations.
C. Shrinkage estimator is UNbiased.
解释：
C is correct.
对于Shrinkage Estimation of VCV Matrices，它对于样本VCV和基于因素的VCV取加权平均值，这将增加(或至少不会减少)估计的有效性。Shrinkage Estimatio获取了了每个底层方法的优点，并减轻了它们各自的限制。所以AB选项说法均是正确的。
因为factor-based VCV matrices是有偏的，所以收缩估计值也是有偏的。所以C选项说法错误，入选。
请问老师，为什么factor model 是有偏的？