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坏呼呼嘿嘿 · 2023年06月11日

尾部风险跟这有什么关系

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NO.PZ202207040100000505

问题如下:

Which of the following is best described as a major drawback of using Thompson’s approach? It is subject to:

选项:

A.a value trap. B.a growth trap. C.extreme tail risk.

解释:

Solution

C is correct. The use of the rewarded factor price momentum is subject to extreme tail risk.

A is incorrect. The value trap refers to the appearance of a cheap value and is not associated with price momentum.

B is incorrect. The growth trap refers to stocks that appear to have continuing growth in earnings, not price.

如题


2 个答案

笛子_品职助教 · 2024年06月22日

嗨,从没放弃的小努力你好:


老师你说的:只有股价是尾部分布,是什么意思,尾部分布?

同学可以简单把尾部分布理解为,股价有趋势性,上涨后继续上涨。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

笛子_品职助教 · 2023年06月12日

嗨,努力学习的PZer你好:


尾部风险跟这有什么关系


这里是说使用了价格动量因子。

价格动量因子是指,股价过去上涨的强势股,就买入。股票过去下跌的弱势股,就卖出。

那么动量因子希望,股票的未来表现,能延续过去的表现。只有这样,动量因子才能获利。

如果股价符合正态分布,那么整体是均值回归的话,动量因子就不会收益。

只有股价是尾部分布,这种分布才意味着,涨就能一直涨,跌就能一直跌。只有股票呈现这样的特点,动量因子才能盈利。

因此本题选C。

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加油吧,让我们一起遇见更好的自己!

Shafengler · 2024年06月21日

老师你说的:只有股价是尾部分布,是什么意思,尾部分布?

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