E4702. Statistical Inference for Financial Engineering. Professor S. Kou. Midterm, August 12, 2009. 11am-1:30pm. Closed Book Exam . Total 40 pts. 1. (5 pts) Basic Facts (a) (1 pt) Which stock exchange was the world²s third largest stock exchange in 1900? (b) (2 pts) Assume that we have two population A and B. Suppose we draw independent samples X 1 , ..., X n 1 from population A and independent samples Y 1 , ..., Y n 2 from pop-ulation B. We further assume that A and B are independent and n 1 and n 2 are large enough. Construct a 95% c.i. for the di/erence 1 2 , where 1 and 2 are population means for A and B, respectively. (c) (2 pts) Show that the mean square error of an estimator is the sum of variance of the estimator and the squared bias of the estimator. 2. (6 pts) We have two fund managers A and B. Suppose that manager A is a much better stock picker than manager B, in every categories. More precisely, A chose OSX-H and SOXX-H,
This is the end of the preview. Sign up
access the rest of the document.
This note was uploaded on 10/18/2010 for the course IEOR 4702 taught by Professor Kou during the Spring '10 term at Columbia.