m********9
发帖数: 116 | 1 Note Book 1统计的两道题，很值得做，不明白的地方想请教大家
Page 270, number 30:
Protfolio A has a safety-first ratio of 1.3 with a threshold return of 2%, w
hat is the shortfall risk for a target return of 2%?
A 90.30%
B 40.30%
C 9.68%
D 49.68%
我之前的题目大多都做对了，这是最后一道，但是做错了。
是已知：（X-2%)/sigma = 1.3 求z值小于-1.3的概率？
那么这个 -1.3是如何得来呢？多谢大家啊。
答案是C
第二题是notes的Book 1, page 295, number 21:
Jenny Fox evaluates managers who have a cross-sectional population standard
deviation of returns of 8%. If returns are independent across managers, | a*******t
发帖数: 47 | 2 Standard Error 本质上就是standard deviation of sample means。 他们可以随便叫。
在regression里都可以这么叫，挺随便的。 | w******g
发帖数: 67 | 3 Q1:
The definition of SFRation is (E(R)-L)/sigma, E(R)is the mean of
distribution of return and L is the threshold of your return. We you
calculate the probability when return equals threshold, you need the formula
z=(X-E(R))/sigma and put X=L. So you see there is a "-" between SFratio and
z value to calculate threshold.
Q2:
"standard deviation of sample means" means the standard deviation of the
distribution of the means of samples, which is also called standard error.
There are many ways to sa
【在 m********9 的大作中提到】
: Note Book 1统计的两道题，很值得做，不明白的地方想请教大家
: Page 270, number 30:
: Protfolio A has a safety-first ratio of 1.3 with a threshold return of 2%, w
: hat is the shortfall risk for a target return of 2%?
: A 90.30%
: B 40.30%
: C 9.68%
: D 49.68%
: 我之前的题目大多都做对了，这是最后一道，但是做错了。
: 是已知：（X-2%)/sigma = 1.3 求z值小于-1.3的概率？
| m********9
发帖数: 116 | 4 非常感谢哦~~~
formula
and
wants
【在 w******g 的大作中提到】
: Q1:
: The definition of SFRation is (E(R)-L)/sigma, E(R)is the mean of
: distribution of return and L is the threshold of your return. We you
: calculate the probability when return equals threshold, you need the formula
: z=(X-E(R))/sigma and put X=L. So you see there is a "-" between SFratio and
: z value to calculate threshold.
: Q2:
: "standard deviation of sample means" means the standard deviation of the
: distribution of the means of samples, which is also called standard error.
: There are many ways to sa
|
|
