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Mengooo · 2018年07月30日

问一道题:NO.PZ2016071602000001 [ FRM II ]

问题如下图:

选项:

A.

B.

C.

D.

解释:

TEV是什么意思?volatility为什么不用11.3%呢

1 个答案
已采纳答案

orange品职答疑助手 · 2018年07月30日

同学你好,这里没有用到HIR fund或者 S&P500 单独的波动率。第二问牵扯到的是假设检验。只要假设检验的统计量大于1.96时,就说它具有统计显著性statistical significance。又因为假设检验的统计量中,含有年份n,所以令统计量=1.96,就可以反求出年份n:


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NO.PZ2016071602000001问题如下Over the past year, the HIR Funha return of 7.8%, while its benchmark, the S P 500 inx, ha return of 7.2%. Over this perio the funs volatility w11.3%, while the S P inx's volatility w10.7% anthe funs TEV w1.25%. Assume a risk-free rate of 3%. Whis the information ratio for the HIR Funanfor how many years must this performanpersist to statistically significant a 95% confinlevel?A.0.480 anapproximately 16.7 yearsB.0.425 anapproximately 21.3 yearsC.3.840 anapproximately 0.2 years1.200 anapproximately 1.9 yearsA is correct. The information ratio is (7.8 — 7.2)/1.25 = 0.48. Statisticsignificanis achievewhen the t-statistic is above the usuvalue of 1.96. Equation (29.5), the minimum number of years T for statisticsignificanis (1.96/IR)2 = 16.7. Note, however, ththere is no neeto perform the seconcomputation because there is only one correanswer for the IR question.老师, 想问一下 为什么 statistic有时用 1。96 有时候 1。645 ? 是默认 statisticsignifican就是 双尾吗 ?

2024-09-23 13:07 1 · 回答

NO.PZ2016071602000001问题如下Over the past year, the HIR Funha return of 7.8%, while its benchmark, the S P 500 inx, ha return of 7.2%. Over this perio the funs volatility w11.3%, while the S P inx's volatility w10.7% anthe funs TEV w1.25%. Assume a risk-free rate of 3%. Whis the information ratio for the HIR Funanfor how many years must this performanpersist to statistically significant a 95% confinlevel?A.0.480 anapproximately 16.7 yearsB.0.425 anapproximately 21.3 yearsC.3.840 anapproximately 0.2 years1.200 anapproximately 1.9 yearsA is correct. The information ratio is (7.8 — 7.2)/1.25 = 0.48. Statisticsignificanis achievewhen the t-statistic is above the usuvalue of 1.96. Equation (29.5), the minimum number of years T for statisticsignificanis (1.96/IR)2 = 16.7. Note, however, ththere is no neeto perform the seconcomputation because there is only one correanswer for the IR question.TEV/跟号N是标准误吗

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NO.PZ2016071602000001问题如下Over the past year, the HIR Funha return of 7.8%, while its benchmark, the S P 500 inx, ha return of 7.2%. Over this perio the funs volatility w11.3%, while the S P inx's volatility w10.7% anthe funs TEV w1.25%. Assume a risk-free rate of 3%. Whis the information ratio for the HIR Funanfor how many years must this performanpersist to statistically significant a 95% confinlevel?A.0.480 anapproximately 16.7 yearsB.0.425 anapproximately 21.3 yearsC.3.840 anapproximately 0.2 years1.200 anapproximately 1.9 yearsA is correct. The information ratio is (7.8 — 7.2)/1.25 = 0.48. Statisticsignificanis achievewhen the t-statistic is above the usuvalue of 1.96. Equation (29.5), the minimum number of years T for statisticsignificanis (1.96/IR)2 = 16.7. Note, however, ththere is no neeto perform the seconcomputation because there is only one correanswer for the IR question.16.7是怎么出来的

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