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?