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小小悟空yu · 2021年11月09日

问一道题:NO.PZ2018122701000013 [ FRM II ]

为什么不选d选项

Rt/vt=ro/vo

不应该是这样吗?

问题如下图:

选项:

A.

B.

C.

D.

解释:

1 个答案

李坏_品职助教 · 2021年11月09日

嗨,从没放弃的小努力你好:


按照讲义P17:


收益率应该替换为r_t,i,也就是第t天的historical return 乘以最新的volatility forecast,再除以第t天的volatility forecast。C项是最符合的。


D项说的两个volatility,说反了。

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