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ROOT · 2023年03月13日

请老师解答一下

NO.PZ2022071202000022

问题如下:

QuestionEquity return distributions are best described as being:

选项:

A.leptokurtic.

B.platykurtic.

C.mesokurtic.

解释:

Solution

A is correct. Most equity return distributions are best described as being leptokurtic (i.e., more peaked than normal).

B is incorrect. Most equity return series have been found to be leptokurtic.

C is incorrect. Most equity return series have been found to be leptokurtic.

讲义里没有写,请问老师这是常识要记住嘛?

1 个答案

星星_品职助教 · 2023年03月13日

同学你好,

上课时提到过虽然我们经常假设return服从正态分布,但股票投资实际上并不是服从正态分布,而是经常有大额损失。所以,股票的return实际上服从的是一个左侧有极端损失的肥尾分布。

肥尾分布即为leptokurtic。

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