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

返回

sliang · 2024年10月02日

课后题

  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.

请问如果这题把60%换成50%的话， 是不是就是normal distribution了， 就不能选skewness了呀？

添加评论
1 个答案
已采纳答案

笛子_品职助教 · 2024年10月03日

嗨，努力学习的PZer你好：


请问如果这题把60%换成50%的话， 是不是就是normal distribution了， 就不能选skewness了呀？

Hello，亲爱的同学~

是的，同学理解正确。

如果是50%，两边就对称了，这就不是skewness了，而是正态分布。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

  • 1

    回答

  • 0

    关注

  • 63

    浏览
相关问题

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. 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. 老师好，一级知识全忘了，上面划线部分没读懂，我知道右偏的memean和mo，但其他理解不了，麻烦下，谢谢

2024-01-23 10:10 1 · 回答

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. 没读懂这句话是什么意思

2024-01-04 20:53 1 · 回答

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. skewness 是这章的考察点？

2022-11-10 21:38 1 · 回答

NO.PZ201809170400000508

2021-09-18 17:37 2 · 回答