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Betty-Che · 2024年01月04日

没读懂“ no more than 60% of the deviations from the mean are negat”

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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.

没读懂这句话是什么意思


1 个答案
已采纳答案

笛子_品职助教 · 2024年01月05日

嗨,爱思考的PZer你好:


Hello,亲爱的同学~

偏度的知识点,实际上三级没怎么涉及。

知识点是一级的数量:偏度的定义。

一级的知识点到了三级基本也忘得差不多了。

这里就复习一下。

偏度(skewness)也称为是 统计数据 分布偏斜方向和程度的度量,是统计数据分布非对称程度的数字特征。

均值两边的点数量不同,不对称,就可以认为有偏度。


结合本题

偏离均值为负值的数量点,不超过60%,这就是偏度。

因为对称分布,是均值两边各50%。而不是一边60%,一边40%。


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