一同学2018-09-21 16:16:10

A portfolio manager produced an alpha of 2.5% based on monthly returns over a 6 year period. Under the assumption of a normal distribution, the portfolio manager claims that the probability of observing such a large alpha by chance is only 1%. To test her claim, one would use a t-test using which level of confidence? 老师您好！我想问一下，就是这道题里他说观测到很大的α，是指单尾的1%还是双尾的1%。我认为是单尾的，所以在进行假设检验找临界值的时候，应该找98%的两个临界值。这样两边各留出1%，才能判断原假设：“α=0”是否是正确的。