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Haowen · 2020年02月08日

问一道题:NO.PZ2017092702000057

问题如下:

The following table shows various statistics for Portfolios 1, 2, and 3.

Compared with a normal distribution, the distribution of returns for Portfolio 3 most likely:

选项:

A.

is less peaked.

B.

has a greater number of extreme returns

C.

has fewer small deviations from its mean.

解释:

B is correct.

Portfolio 3 has positive excess kurtosis (i.e., kurtosis greater than 3), which indicates that its return distribution is leptokurtic, is more peaked than normal, and has fatter tails. The fatter tails mean Portfolio 3 has a greater number of extreme returns.

C为什么是错的,如何理解呢?

1 个答案

星星_品职助教 · 2020年02月09日

同学你好,

如果是尖峰的话,说明中间“峰”是比较细尖的(尾巴比较肥),也就是围绕均值比较紧密,所以应该是 more small deviation from mean