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胖婷肥周 · 2022年07月06日

老师,能提供一下解题步骤吗?中文版本的

NO.PZ2017092702000100

问题如下:

An analyst develops the following capital market projections.

Assuming the returns of the asset classes are described by normal distributions, which of the following statements is correct?

选项:

A.

Bonds have a higher probability of a negative return than stocks.

B.

On average, 99% of stock returns will fall within two standard deviations of the mean.

C.

The probability of a bond return less than or equal to 3% is determined using a Z-score of 0.25.

解释:

A is correct.

The chance of a negative return falls in the area to the left of 0% under a standard normal curve. By standardizing the returns and standard deviations of the two assets, the likelihood of either asset experiencing a negative return may be determined: Z-score (standardized value) = (X – μ)/σ Z-score for a bond return of 0% = (0 – 2)/5 = –0.40. Z-score for a stock return of 0% = (0 – 10)/15 = –0.67. For bonds, a 0% return falls 0.40 standard deviations below the mean return of 2%. In contrast, for stocks, a 0% return falls 0.67 standard deviations below the mean return of 10%. A standard deviation of 0.40 is less than a standard deviation of 0.67. Negative returns thus occupy more of the left tail of the bond distribution than the stock distribution. Thus, bonds are more likely than stocks to experience a negative return.

同上,英文版的不太看得懂

2 个答案
已采纳答案

星星_品职助教 · 2022年07月07日

同学你好,

选项A要求比较bond和stock哪个得到负回报的概率比较大。这两个资产的return都服从正态分布,所以将这两个正态分布做标准化。

因为要求两者产生负回报的概率,即求P(X<0).

由图可知,红色部分的面积代表Stock产生负回报的概率,绿色面积代表Bond产生负回报的概率,绿色面积大于红色面积,所以Bond相对于Stock来说产生负回报的概率更高,A选项的描述是正确的。

对于B选项,应该是大约为95%的概率不是99%的概率,所以错误。

对于C选项,相当于求Bond的return小于等于3%的概率,即P(X≤3%),标准化后:

所以应该是using a Z-score of 0.2,而不是0.25,C选项错误。

Captain America · 2022年07月10日

老师,B答案On average, 99% of stock returns will fall within two standard deviations of the mean.是什么意思?

星星_品职助教 · 2022年07月11日

@Captain America

已在单独的提问下回复,提问一次就可以啦~

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NO.PZ2017092702000100问题如下 analyst velops the following capitmarket projections.Assuming the returns of the asset classes are scribenormstributions, whiof the following statements is correct?A.Bon have a higher probability of a negative return thstocks.B.On average, 99% of storeturns will fall within two stanrviations of the mean.C.The probability of a bonreturn less thor equto 3% is termineusing a Z-score of 0.25.A is correct.The chanof a negative return falls in the area to the left of 0% unr a stanrnormcurve. stanrzing the returns anstanrviations of the two assets, the likelihooof either asset experiencing a negative return mtermine Z-score (stanrzevalue) = (X – μ)/σ Z-score for a bonreturn of 0% = (0 – 2)/5 = –0.40. Z-score for a storeturn of 0% = (0 – 10)/15 = –0.67. For bon, a 0% return falls 0.40 stanrviations below the mereturn of 2%. In contrast, for stocks, a 0% return falls 0.67 stanrviations below the mereturn of 10%. A stanrviation of 0.40 is less tha stanrviation of 0.67. Negative returns thus occupy more of the left tail of the bonstribution ththe stostribution. Thus, bon are more likely thstocks to experiena negative return.A可以用 标准差/平均 来比较吗C要怎么算呢

2022-09-21 07:28 1 · 回答

NO.PZ2017092702000100问题如下analyst velops the following capitmarket projections.Assuming the returns of the asset classes are scribenormstributions, whiof the following statements is correct?A.Bon have a higher probability of a negative return thstocks.B.On average, 99% of storeturns will fall within two stanrviations of the mean.C.The probability of a bonreturn less thor equto 3% is termineusing a Z-score of 0.25.A is correct.The chanof a negative return falls in the area to the left of 0% unr a stanrnormcurve. stanrzing the returns anstanrviations of the two assets, the likelihooof either asset experiencing a negative return mtermine Z-score (stanrzevalue) = (X – μ)/σ Z-score for a bonreturn of 0% = (0 – 2)/5 = –0.40. Z-score for a storeturn of 0% = (0 – 10)/15 = –0.67. For bon, a 0% return falls 0.40 stanrviations below the mereturn of 2%. In contrast, for stocks, a 0% return falls 0.67 stanrviations below the mereturn of 10%. A stanrviation of 0.40 is less tha stanrviation of 0.67. Negative returns thus occupy more of the left tail of the bonstribution ththe stostribution. Thus, bon are more likely thstocks to experiena negative return.老师请问A要怎么计算

2022-09-09 22:07 1 · 回答

NO.PZ2017092702000100问题如下analyst velops the following capitmarket projections.Assuming the returns of the asset classes are scribenormstributions, whiof the following statements is correct?A.Bon have a higher probability of a negative return thstocks.B.On average, 99% of storeturns will fall within two stanrviations of the mean.C.The probability of a bonreturn less thor equto 3% is termineusing a Z-score of 0.25.A is correct.The chanof a negative return falls in the area to the left of 0% unr a stanrnormcurve. stanrzing the returns anstanrviations of the two assets, the likelihooof either asset experiencing a negative return mtermine Z-score (stanrzevalue) = (X – μ)/σ Z-score for a bonreturn of 0% = (0 – 2)/5 = –0.40. Z-score for a storeturn of 0% = (0 – 10)/15 = –0.67. For bon, a 0% return falls 0.40 stanrviations below the mereturn of 2%. In contrast, for stocks, a 0% return falls 0.67 stanrviations below the mereturn of 10%. A stanrviation of 0.40 is less tha stanrviation of 0.67. Negative returns thus occupy more of the left tail of the bonstribution ththe stostribution. Thus, bon are more likely thstocks to experiena negative return.可以把B答案翻译一下吗?

2022-07-10 21:43 1 · 回答

NO.PZ2017092702000100 老师这题是不是因为已知了正态分布,所以不用标准化,得出来的概率就可以直接比较大小?

2021-02-10 09:22 2 · 回答