張同學
2022-11-22 21:14R4原版書例題9
例題9 1.The sample VCV method cannot be used if the number of assets exceeds the number of observations, which is not an issue in this case. However,it is subject to large sampling error unless the number of observation is large relative to the number of assets. 2.A factor model based VCV matrix can b
所屬：CFA Level III > Capital Market Expectations 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Johnny助教
2022-11-24 16:25
該回答已被題主采納
同學你好，請問這個example是具體哪一個點不明白呀
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追問
R4原版書例題9
例題9
1.The sample VCV method cannot be used if the number of assets exceeds the number of observations, which is not an issue in this case. However,it is subject to large sampling error unless the number of observation is large relative to the number of assets.
2.A factor model based VCV matrix can be used even if the number of asset exceeds the number of observation.
這兩句話翻譯的意思明白，就是不明白為什么，為什么資產(chǎn)的數(shù)量大于觀測值時sample VCV就不能用了而factor based VCV可用，為什么觀測值大于資產(chǎn)的數(shù)量時sample error 就小了，請解釋一下 -
追答
同學你好。在計算協(xié)方差矩陣時會涉及相關(guān)性的問題，那么觀察值一般是大于資產(chǎn)大類的，涉及兩兩資產(chǎn)相關(guān)性，如果是2個資產(chǎn)就需要2個觀察值，如果是4個資產(chǎn)就涉及12個觀察值甚至更多，涉及1和2、3、4的相關(guān)性，2和1、3、4的相關(guān)性等。
另外涉及1：10法則，為了樣本估計總體的結(jié)果更準確，觀察值最好是資產(chǎn)大類的10倍。
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