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WOO2019 · 2022年11月10日

skewness 是这章的考察点？

  1. CFA III
  2. Equity

* 问题详情，请 查看题干

NO.PZ201809170400000508

问题如下：

Which risk measure does Fund 3’s new risk control explicitly constrain?

选项：

A.

Volatility

B.

Skewness

C.

Drawdown

解释：

B is correct. Skewness measures the degree to which return expectations are non-normally distributed. If a distribution is positively skewed, the mean of the distribution is greater than its median—more than half of the deviations from the mean are negative and less than half are positive—and the average magnitude of positive deviations is larger than the average magnitude of negative deviations. Negative skew indicates that that the mean of the distribution lies below its median, and the average magnitude of negative deviations is larger than the average magnitude of positive deviations. Fund 3’s new risk control constrains its model’s predicted return distribution so that no more than 60% of the deviations from the mean are negative. This is an explicit constraint on skewness.

skewness 是这章的考察点？

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1 个答案

笛子_品职助教 · 2022年11月11日

嗨，努力学习的PZer你好：


skewness 是这章的考察点？


skewness是一级数量的考点了。

不过根据这道题的描述，收益率是呈现偏态分布的。

Equity有的题目用到的考点并不一定在正文里描述，有时候会用到一二级的考点。

同学就根据这道题，补充记忆一下偏态分布这个知识点了。

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努力的时光都是限量版，加油！

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NO.PZ201809170400000508 问题如下 Whirisk measure es Fun3’s new risk control explicitly constrain? Volatility Skewness awwn B is correct. Skewness measures the gree to whireturn expectations are non-normally stribute If a stribution is positively skewe the meof the stribution is greater thits mean—more thhalf of the viations from the meare negative anless thhalf are positive—anthe average magnitu of positive viations is larger ththe average magnitu of negative viations. Negative skew incates thththe meof the stribution lies below its mean, anthe average magnitu of negative viations is larger ththe average magnitu of positive viations. Fun3’s new risk control constrains its mol’s prectereturn stribution so thno more th60% of the viations from the meare negative. This is explicit constraint on skewness. 请问如果这题把60%换成50%的话， 是不是就是normstribution了， 就不能选skewness了呀？

2024-10-02 23:57 1 · 回答

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2024-01-23 10:10 1 · 回答

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2024-01-04 20:53 1 · 回答

NO.PZ201809170400000508

2021-09-18 17:37 2 · 回答