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immortalk · 2018年03月05日

问一道题:NO.PZ2016070202000018 [ FRM II ]

问题如下图:

选项:

A.

B.

C.

D.

解释:

C,为什么是undersdate
1 个答案
已采纳答案

妙悟先生品职答疑助手 · 2018年03月06日

如果实际的股票收益率的分布是Kurtosis,那么说明分布是肥尾的,相对于delta-normal的正态分布假设,尾部损失更大。

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