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