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chiara9009 · 2023年06月29日

请问C选项inverse transformation在哪里讲到过?

NO.PZ2021101401000013

问题如下:

Yuen and Ruckey design a Benchmark Portfolio (A) and a Risk Parity Portfolio (B), and then run two simulation methods (the historical simulation and Monte Carlo simulation) to generate investment performance data based on the underlying nine factor portfolios. For each approach, Yuen and Ruckey run 1,000 trials to obtain 1,000 returns for Portfolios A and B. To help understand the effect of the skewness and excess kurtosis observed in the Factor 1 returns on the performance of Portfolios A and B, Ruckey suggests simulating an additional 1,000 factor returns using a multivariate skewed Student’s t-distribution, then repeating Monte Carlo simulation.

The process Ruckey suggests to better understand how the performance of Portfolios A and B using Monte Carlo simulation is affected by the distribution of Factor 1 returns is best described as:

选项:

A.

data snooping.

B.

sensitivity analysis.

C.

inverse transformation.

解释:

B is correct. Sensitivity analysis can be implemented to help managers understand how the target variable (portfolio returns) and risk profiles are affected by changes in input variables. Approach 2 is a Monte Carlo simulation, and the results depend on whether the multivariate normal distribution is the correct functional form or a reasonable proxy for the true distribution. Because this information is almost never known, sensitivity analysis using a multivariate skewed Student’s t-distribution helps to account for empirical properties such as the skewness and the excess kurtosis observed in the underlying factor return data.

A is incorrect. Data snooping is the subconscious or conscious manipulation of data in a way that produces a statistically significant result (i.e., a p-value that is sufficiently small or a t-statistic that is sufficiently large to indicate statistically significance).

C is incorrect. The inverse transformation method is the process of converting a randomly generated number into a simulated value of a random variable.

请问C选项inverse transformation在哪里讲到过?讲义里好像没有找到

1 个答案
已采纳答案

星星_品职助教 · 2023年06月29日

同学你好,

Inverse transformation是一种抽取随机数的方法。主要应用在simulation里。

具体的做法可以参照基础班下面这个视频2倍速的11分50秒开始。



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NO.PZ2021101401000013问题如下 Yuen anRuckey sign a Benchmark Portfolio (ana Risk Parity Portfolio (B), anthen run two simulation metho (the historicsimulation anMonte Carlo simulation) to generate investment performanta baseon the unrlying nine factor portfolios. For eaapproach, Yuen anRuckey run 1,000 trials to obtain 1,000 returns for Portfolios A anTo help unrstanthe effeof the skewness anexcess kurtosis observein the Factor 1 returns on the performanof Portfolios A anRuckey suggests simulating aition1,000 factor returns using a multivariate skeweStunt’s t-stribution, then repeating Monte Carlo simulation.The process Ruckey suggests to better unrstanhow the performanof Portfolios A anB using Monte Carlo simulation is affectethe stribution of Factor 1 returns is best scribeas: A.ta snooping.B.sensitivity analysis. C.inverse transformation. B is correct. Sensitivity analysis cimplementeto help managers unrstanhow the target variable (portfolio returns) anrisk profiles are affectechanges in input variables. Approa2 is a Monte Carlo simulation, anthe results penon whether the multivariate normstribution is the correfunctionform or a reasonable proxy for the true stribution. Because this information is almost never known, sensitivity analysis using a multivariate skeweStunt’s t-stribution helps to account for empiricproperties suthe skewness anthe excess kurtosis observein the unrlying factor return ta.A is incorrect. ta snooping is the subconscious or conscious manipulation of ta in a wthproces a statistically significant result (i.e., a p-value this sufficiently small or a t-statistic this sufficiently large to incate statistically significance).C is incorrect. The inverse transformation methois the process of converting a ranmly generatenumber into a simulatevalue of a ranm variable. 从哪里可以看出是敏感性分析

2024-08-07 08:14 1 · 回答