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为了求职冲呀 · 2020年03月08日

问一道题:NO.PZ2015120604000108

问题如下:

If a Portfolio's SFR is 1.4 and  threshold level's return is  supposed to be 2%, what is the probability of return less than 2%?

选项:

A.

8.08%.

B.

30.20%.

C.

9.68%.

解释:

A is correct.

Using the table, we get F( -1.4) is 1 - 0.9192 = 8.08%.

老师您好,在您解释的第三行里“可以等价于z




看了公式F(-z)=1-F(z)和P(Z>z)=1-(Fz),这两个公式和您在第二个问题是从p(z <-1.4)变成F(-1.4) 有什么关联?可以解释下吗?

1 个答案

星星_品职助教 · 2020年03月08日

同学你好,

Z表是一个累计概率函数表,数字都指的是这个数字左侧的累积面积,所以p(z <-1.4)就是F(-1.4)

标准化那个问题我在评论里解释过了,如果还不明白,可以复习一下SFR这部分内容,有相关的例题

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