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Basel Zhang · 2023年08月30日

为什么不是drawdown呢?

NO.PZ2023010903000074

问题如下:

In Fund 3’s latest quarterly report, Ap reads that Fund 3 implemented a new formal risk control for its forecasting model that constrains the predicted return distribution so that no more than 60% of the deviations from the mean are negative.

Which risk measure does Fund 3’s new risk control explicitly constrain?

选项:

A.

Volatility

B.

Skewness

C.

Drawdown

解释:

Skewness measures the degree to which return expectations are non-normally distributed. If a distribution is positively skewed, the mean of the distribution is greater than its median—more than half of the deviations from the mean are negative and less than half are positive—and the average magnitude of positive deviations is larger than the average magnitude of negative deviations. Negative skew indicates that that the mean of the distribution lies below its median, and the average magnitude of negative deviations is larger than the average magnitude of positive deviations. Fund 3’s new risk control constrains its model’s predicted return distribution so that no more than 60% of the deviations from the mean are negative. This is an explicit constraint on skewness.

如题

1 个答案

笛子_品职助教 · 2023年08月31日

嗨,爱思考的PZer你好:


Drawdown是指最大回撤,比如基金从最高点到最低点,最大跌了60%。

结合本题,本题并无相关描述。

本题描述的是,有不超过60%的点,偏离均值。no more than 60% of the deviations from the mean are negative


这是Skewness。Skewness是一级里的知识点,三级并没有讲到,学到三级基本上一级也忘得差不多了。

同学就通过这道题补充记忆一下。

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