NO.PZ2022062760000026
问题如下:
A risk manager is calculating the VaR of a fund with a data set of 25 weekly returns. The mean weekly return is
7% and the standard deviation of the return series is 15%. 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.
3%
D.
10%
解释:
中文解析:
周化的σ=25周的σ/根号下(25周)=15%/sqrt (25) = 3%
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 15%/sqrt (25) = 3%
平方根法则在讲义的哪一块?具体应用场景是什么?怎么判断什么时候用平方根法则?