NO.PZ2024030507000015
问题如下:
A risk manager is calculating the VaR of a fund with a data set of 50 weekly returns. The mean weekly return estimated from the sample is 8% with a standard deviation of 17%. Assuming that weekly returns are independent and identically distributed, what is the standard deviation of the mean weekly return?
选项:
A.
0.4%
B.
0.7%
C.
2.4%
D.
10.0%
解释:
Explanation C is correct. In order to calculate the standard deviation of the mean weekly returns, we must divide the standard deviation of the return series by the square root of the sample size. Therefore, the correct answer is 17% / sqrt(50) = 2.4%.
Section Quantitative Analysis
Learning Objective Estimate the mean, variance, and standard deviation using sample data.
Reference Global Association of Risk Professionals. Quantitative Analysis. New York, NY: Pearson, 2022. Chapter 5. Sample Moments.
是不是所有的计算标准误的题前提条件都是iid呢