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sureli · 2020年07月09日

问一道题:NO.PZ2019012201000073

问题如下:

In Fund 3’s latest quarterly report, Ap reads that Fund 3 implemented a new formal risk control for its forecasting model that constrains the predicted return distribution so that no more than 60% of the deviations from the mean are negative.

Which risk measure does Fund 3’s new risk control explicitly constrain?

选项:

A.

Volatility

B.

Skewness

C.

Drawdown

解释:

Skewness measures the degree to which return expectations are non-normally distributed. If a distribution is positively skewed, the mean of the distribution is greater than its median—more than half of the deviations from the mean are negative and less than half are positive—and the average magnitude of positive deviations is larger than the average magnitude of negative deviations. Negative skew indicates that that the mean of the distribution lies below its median, and the average magnitude of negative deviations is larger than the average magnitude of positive deviations. Fund 3’s new risk control constrains its model’s predicted return distribution so that no more than 60% of the deviations from the mean are negative. This is an explicit constraint on skewness.

drawdown是啥意思呢?

1 个答案

maggie_品职助教 · 2020年07月10日

嗨,从没放弃的小努力你好:


Drawdown 是 跌幅、回撤的概念,例如一只股票在一段时间内最高价是100,最低价是10,那么 max drawdown 就是 90。


-------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!


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