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Zhj006 · 2025年04月06日

excess kurtosis

NO.PZ2023040601000055

问题如下:

Yuen and Ruckey discuss the differences between the historical simulation and Monte Carlo simulation, then design the simulations, making key decisions at various steps. During the process, Yuen expresses a number of concerns:

  • Concern 3: The distribution of Factor 1 returns exhibits excess kurtosis and negative skewness.
Based on Concern 3, the Factor 1 strategy is most likely to:

选项:

A.

be favored by risk-averse investors.

B.

generate surprises in the form of negative returns.

C.

have return data that line up tightly around a trend line.

解释:

B is correct. The distribution of Factor 1 returns exhibits excess kurtosis and negative skewness (relative to the normal distribution). The excess kurtosis implies that these strategies are more likely to generate surprises, meaning extreme returns, whereas the negative skewness suggests those surprises are more likely to be negative (than positive).

A is incorrect because risk-averse investors are more likely to prefer distribution properties such as positive skew (higher probability of positive returns) and lower to moderate kurtosis (lower probability of extreme negative surprises).

The distribution of Factor 1 returns exhibits excess kurtosis and negative skewness.

C is incorrect because the distribution of Factor 1 returns exhibits excess kurtosis and negative skewness. The joint distribution of such returns is rarely multivariate normal—so, typically the means and variances of these returns and the correlations between them are insufficient to describe the joint return distribution. In other words, the return data do not line up tightly around a trend line because of fat tails and outliers.

为什么excess kurtosis 会带来更多的风险

1 个答案

品职助教_七七 · 2025年04月07日

嗨,从没放弃的小努力你好:


excess kurtosis说明分布的尾部为肥尾,代表概率更多。尾部概率对应极端事件,所以极端风险发生可能更大。

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