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玛卡巴卡 · 2021年09月18日

equity

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NO.PZ201809170400000508

问题如下:

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

选项:

A.

Volatility

B.

Skewness

C.

Drawdown

解释:

B is correct. 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.

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.这句话是什么意思呢? formal risk是什么?这里说的偏离mean是指什么的mean呢?

2 个答案

笛子_品职助教 · 2021年09月22日

嗨,爱思考的PZer你好:


是的,return的均值。

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笛子_品职助教 · 2021年09月20日

嗨,努力学习的PZer你好:


定位在这里



formal risk指的是用一些量化的指标去规定组合的风险,比如回撤不超过多少,偏度不超过多少,VAR不超过多少之类。


偏离mean是指什么的mean呢?mean指的是一个概率分布中的均值。如果是正态分布,那么有50%的数值小于Mean,有50%的数值大于mean,正态分布的skewness为0,如果return服从正态分布,一般来说mean是0。但是本题中,基金的收益并非正态分布,mean不等于0,题目说了,不超过60%的数值偏离mean,所以这是skewness。

 

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玛卡巴卡 · 2021年09月22日

mean是return的mean么?

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