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Let N be an n*1 vector of independent draws from a standard normal distribution, and let V be a covariance matrix of market time series data. Then if L is diagonal matrix of the eigenvalues of V, E is a matrix of the eigenvectors of V, and C'C is the Cholesky factorization of V, which of the following would generate a normally distributed random vector with mean zero and covariance matrix V to be used in a Monte Carlo simulation?
答案是 NC'
这是FRM的handbook上的一道题,我实在是一点头绪都没有,有没有那位大牛给帮忙看看,小分分献上,谢谢啦~ |
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