FRMEXAM2007一道关于regression的试题,怎么用最小二乘法的公式来解决?considertwostocks,AandB.Assumetheirannualreturnsarenormallydistributed,themarginaldistributionofeachstockhasmean2%andstandarddeviation10%,an

Question

FRM EXAM2007 一道关于regression的试题,怎么用最小二乘法的公式来解决?
consider two stocks,A and B.Assume their annual returns are normally distributed,the marginal distribution of each stock has mean 2% and standard deviation 10%,and the correlation is 0.9.what is the expected annual return of stock A if the annual return of stock B is 3%?
the answer is 2.9%

Answer 1

这不是handbook上的题目么?我也是看答案看明白的.将A看成因变量,B看成自变量,做一个回归方程：A=(alpha)*B+(beta)由于已知A与B的均值,对上面这个式子求均值就有2=(alpha)*2+(beta)又由于已知方差和相关系数,我们有：...