开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

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。

  • 1

    回答
  • 0

    关注
  • 364

    浏览
相关问题

NO.PZ2016070202000018 问题如下 Whiof the following statements about Vestimation metho is wrong? A.The lta-normVmethois more reliable for portfolios thimplement portfolio insuranthrough namic heing thfor portfolios thimplement portfolio insuranthrough the purchase of put options. B.The full-valuation Vmethobaseon historicta is more reliable for large portfolios thcontain significant option-like investments ththe lta-normVmetho C.The lta-normVmethocunrstate the true Vfor stoportfolios when the stribution of the return of the stocks hhigh kurtosis. Full-valuation Vmetho baseon historicta take into account nonlinerelationships between risk factors ansecurity prices. Full-valuation metho are more precise for portfolios with options, so answers B anare correct. The lta-normVunrstates the risk when stributions have ftails, so answer C is correct. Answer A is inewrong. The lta-normmethowill poor for outright positions in options, or their namic replication. 请问每种metho用于什么样的portfolio这个内容在哪里?

2023-01-30 12:04 2 · 回答

NO.PZ2016070202000018 The full-valuation Vmethobaseon historicta is more reliable for large portfolios thcontain significant option-like investments ththe lta-normVmetho The lta-normVmethocunrstate the true Vfor stoportfolios when the stribution of the return of the stocks hhigh kurtosis. Full-valuation Vmetho baseon historicta take into account nonlinerelationships between risk factors ansecurity prices. Full-valuation metho are more precise for portfolios with options, so answers B anare correct. The lta-normVunrstates the risk when stributions have ftails, so answer C is correct. Answer A is inewrong. The lta-normmethowill poor for outright positions in options, or their namic replication. 老师解析中的outright position是什么意思

2022-09-29 17:59 1 · 回答

NO.PZ2016070202000018 老师能一下这道题吗?四个几乎都不太理解

2022-03-10 17:47 2 · 回答

NO.PZ2016070202000018 No.PZ2016070202000017 老师可以讲解lta normv中怎么理解B和the money 和 即将到期 的影响是什么 C的含义是什么

2022-02-20 20:47 1 · 回答

A为什么错呢,A里面说动态对冲比买put更好,怎么判断呢,lta normal对于两种都差,那怎么对比谁更差?

2021-01-24 19:24 2 · 回答