medium · FRM Part 1 Quantitative Analysis
A portfolio manager wants to estimate the mean alpha of a strategy.
With a sample of n observations and an estimated sample standard deviation s, what is the effect of quadrupling the sample size on the width of the 95% confidence interval, assuming s remains constant and n is large?
- The width of the interval will remain unchanged if the variance is constant.
- The width of the interval will be reduced by half.
- The width of the interval will double.
- The width of the interval will be reduced by three-quarters.
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