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尼克内姆 · 2019年12月15日

问一道题:NO.PZ2015120604000108

问题如下:

If a Portfolio's SFR is 1.4 and  threshold level's return is  supposed to be 2%, what is the probability of return less than 2%?

选项:

A.

8.08%.

B.

30.20%.

C.

9.68%.

解释:

A is correct.

Using the table, we get F( -1.4) is 1 - 0.9192 = 8.08%.

你好,我就是看不懂这道题目的标准化。E(Rp)

到底怎么推到的??

1 个答案

星星_品职助教 · 2019年12月16日

同学你好,

这里的标准化就是正态分布下的标准化,这道题return服从普通的正态分布,所以将Portfolio return<2%做标准化后就等同于 Z<[ 2%-E(Rp) ]/ σp。不等式前面就相当于把原来服从的正态分布的Rp转化成了标准正态分布的Z的形式。


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