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苏·Xu · 2022年11月10日

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NO.PZ202106160300003005

问题如下:

The target semi-deviation of the returns over the 10 years if the target is 2% is closest to:

选项:

A.1.42% B.1.50% C.2.01%

解释:

B is correct.


The target semi-deviation is the square root of the sum of the squared deviations from the target, divided by n-1:


harmonic 为什么要1+return?

1 个答案

星星_品职助教 · 2022年11月11日

同学你好,

1)教材中,所有涉及到“计算harmonic mean return”的地方,都采用了1+return的形式,可认为这是教材的固定要求,可统一参照教材的R2 Q36题。

2)本题为return半方差的计算,不涉及到harmonic mean,return也不需要加1。直接和target即2%相比即可。

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