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占个座儿 · 2019年06月06日

问一道题:NO.PZ201809170400000508 第8小题

* 问题详情,请 查看题干

问题如下图:

    

选项:

A.

B.

C.

解释:


请问Drawdown为什么不对,不是说no more than 60% the deviations from the mean are negative?也就是最大回撤不超过60%

2 个答案

伯恩_品职助教 · 2021年09月20日

嗨,爱思考的PZer你好:


没有最高点可以和期初比么?理解成止损线——drawdown不是和期初比,指在选定周期内任一历史时点往后推,产品净值走到最低点时的收益率回撤幅度的最大值。

不是止损线,但是有一定关系,即达到一个事先确定好的值就做相应处理

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

maggie_品职助教 · 2019年06月06日

sknewness描述的是distribution的不对称性,是左偏还是右偏。也就是题干中最后一句说 “constrains the predicted return distribution so that no more than 60% of the deviations from the mean are negative”

drawdown指的是相比最高点的下跌幅度。此题没有最高点的描述。

玛卡巴卡 · 2021年09月18日

没有最高点可以和期初比么?理解成止损线

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