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Brian邵彬 · 2024年04月11日

不知道什么意思

  1. FRM I
  2. Quantitative

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%.

The mean weekly return estimated from the sample is 8% with a standard deviation of 17%. 这里不是说的很清楚，这50个周回报率的均值是8%，sd是17%？那求得是什么

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1 个答案

品职答疑小助手雍 · 2024年04月11日

同学你好，这题描述的不太清楚，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。


我反馈修改下题目，读起来不对劲。

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NO.PZ2022062760000004 问题如下 A risk manager is calculating the Vof a funwith a ta set of 50 weekly returns. The meweekly return estimatefrom the sample is 8% with a stanrviation of 17%. Assuming thweekly returns are inpennt anintically stribute whis the stanrviation of the meweekly return? A.0.4% B.0.7% C.2.4% 10% 中文解析周化σ=年化σ/sqrt多少周=17%/sqrt(50) = 2.4%In orr to calculate the stanrviation of the meweekly returns, we must vi the stanrviation of the return series the square root of the sample size. Therefore, the correanswer is 17%/sqrt(50) = 2.4%. 算sample stanrviation分母需要用（n-1）=50-1=49么

2023-09-21 23:53 1 · 回答

NO.PZ2022062760000004 问题如下 A risk manager is calculating the Vof a funwith a ta set of 50 weekly returns. The meweekly return estimatefrom the sample is 8% with a stanrviation of 17%. Assuming thweekly returns are inpennt anintically stribute whis the stanrviation of the meweekly return? A.0.4% B.0.7% C.2.4% 10% 中文解析周化σ=年化σ/sqrt多少周=17%/sqrt(50) = 2.4%In orr to calculate the stanrviation of the meweekly returns, we must vi the stanrviation of the return series the square root of the sample size. Therefore, the correanswer is 17%/sqrt(50) = 2.4%. 这题干不是已经说了weekly return stanrviation是17%了吗？（The meweekly return estimatefrom the sample is 8% with a stanrviation of 17%. ）那为啥还要我求 stanrviation of the meweekly 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annualizereturn stanrviation才对呀。

2023-07-28 15:21 1 · 回答