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Nancy 王悦 · 2020年07月01日

问一道题:NO.PZ2017092702000057 [ CFA I ]

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.

这道题为什么不选择b,怎么判断positive  negative Skewness 

1 个答案
已采纳答案

星星_品职助教 · 2020年07月02日

同学你好,

根据表格中skewness那一列可以直接判断,skewness为正(例如等于0.9)就是positive/right skewness,即右偏。

题目问portfolio 3的情况,可以看出skewness=-1.5,所以为negative skewness,但结合选项来看,要判断的是kurtosis。

由于execess kurtosis 3=6.2,所以是尖峰分布,直接排除A选项。与对应的正态分布相比,尖峰分布对应着“肥尾”,而尾部对应的是离均值很远的计算值,所以肥尾分布会有更多的极端值,选择B选项。