开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

世纪之龙5 · 2024年03月04日

正确步骤是什么

NO.PZ2018122701000011

问题如下:

Jane is a risk analyst who currently collects the portfolio's 1,000 historical return distributions, but after a preliminary analysis she found the data appeared skewed, so she decided to use bootstrapping historical simulation to estimate a 5% VaR. Which of the following statements is one of the steps in this method?

选项:

A.

Weighting returns by relative volatility

B.

Repeating sampling with replacement to create a large number of samples.

C.

Removing outliers from the original sample

D.

Choosing an appropriate ratio of consecutive weights

解释:

B is correct.

考点 Bootstrapping

解析 A为volatility-weighted 的步骤;D为age-weighted ;C是凑选项的。B选项,重新抽样并且替换,以此获得大量样本,是Bootstrapping的操作步骤之一。

如题

1 个答案

pzqa27 · 2024年03月04日

嗨,从没放弃的小努力你好:


bootstrapping 是一种增加sample size的方法,其原理就是通过反复抽样形成新的sample。

----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!