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𝒜𝒩𝒥𝒜 安雅🎃 · 2023年07月28日

题干给出了17%标准差,为什么还要我求?

NO.PZ2022062760000004

问题如下:

A risk manager is calculating the VaR of a fund with a data set of 50 weekly returns. The mean weekly return estimated from the sample is 8% with a standard deviation of 17%. Assuming that weekly returns are independent and identically distributed, what is the standard deviation of the mean weekly return?

选项:

A.

0.4%

B.

0.7%

C.

2.4%

D.

10%

解释:

中文解析:

周化σ=年化σ/sqrt多少周=17%/sqrt(50) = 2.4%

In order to calculate the standard deviation of the mean weekly returns, we must divide the standard deviation of the return series by the square root of the sample size. Therefore, the correct answer is 17%/sqrt(50) = 2.4%.

这题干不是已经说了weekly return standard deviation是17%了吗?(The mean weekly return estimated from the sample is 8% with a standard deviation of 17%. )


那为啥还要我求 standard deviation of the mean weekly return?


我看解析是说用平方根法则来算,那题干给出的17%应该是annualized return standard deviation才对呀。

1 个答案
已采纳答案

DD仔_品职助教 · 2023年07月29日

嗨,从没放弃的小努力你好:


同学你好,

感觉这题描述的不太清楚,应该在return和standard deviation后面加个pa更准确,他给出的8%和17%应该是年化的,也就是说对于这些周的return的计算出来的年化return是8%,年化标准差是17%,然后要求我们求周的。

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努力的时光都是限量版,加油!

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