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bunnymiss · 2020年03月13日

问一道题:NO.PZ2020011303000048 [ FRM I ]

问题如下:

An investment has probabilities of 0.1, 0.3, 0.2, 0.3, and 0.1 of giving one-year returns equal of 30%, 20%, 10%, 0%, and 10%. What is the mean return and the standard deviation of the return?

解释:

The mean return is 10%. The expected squared return is 0.024 so that the standard deviation of the return is (0.024-0.01)^(1/2) = (0.014)^0.5 = 0.118 or 11.8%.

能麻烦再写下完整的的公式吗 没看懂答案
1 个答案

小刘_品职助教 · 2020年03月14日

同学你好,如下所示:

E=0.1*30%+0.3*20%+0.2*10%+0.3* 0%+0.1*(-10%)=0.1=10%

根号下第一个值=0.1*(30%)^2+0.3*(20%)^2+0.2*(10%)^2+0.3*(0%)^2+0.1*(-10%)^2=0.024

 the standard deviation=(0.024-01*0.1)^(1/2)=0.118 or 11.8%.