NO.PZ2018062008000014
问题如下:
Which of the following is least likely to use when measuring the downside risk of an alternative investment:
选项:
A.
Sortino ratio.
B.
value at risk (VaR).
C.
standard deviation of returns.
解释:
C is correct.
Sortino ratio 和 Value at risk都是衡量半方差的 ,比较符合我们另类投资产品特有的收益风险特征;而standard deviation是假设服从正太分布的情况下衡量波动率,但是另类投资大多都不服从正态分布,所以不太适用于衡量另类投资收益风险,所以C正确。
A选项是啥 完全想不起来