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我是一条鱼 · 2020年05月31日

问一道题:NO.PZ201512020300000702 第2小题 [ CFA II ]

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问题如下:

With respect to the simulation, Maxwell should be concerned that:

选项:

A.

CSI does not follow a symmetric distribution.

B.

property management fees are not normally distributed.

C.

there is a lack of correlation between the CSI and the management fee percentage.

解释:

A is correct. Using a normal distribution when the distribution is not normal may lead to misleading results. There is no limitation on the type of probability distribution (for example, normal or uniform); what is important is that the selected distribution reflect the likely distribution of future values. Further, there is no requirement that inputs be correlated with one another. In fact, correlated inputs present issues that must be overcome by either removing one of the probability inputs or explicitly building the correlation into the simulation.

B is incorrect because probabilistic variables may follow different distributions, including the normal distribution and the uniform distribution. It is important to pick a statistical distribution that best captures the variability in the input and estimate the parameters for that distribution.

C is incorrect because there is no requirement that inputs be correlated with one another. In fact, correlated inputs present issues that must be overcome by either removing one of the probability inputs or explicitly building the correlation into the simulation.

Concern 3 中20年和30年的mean不同,是否是因为不是normal distribution呢
1 个答案

星星_品职助教 · 2020年06月01日

同学你好,

concern 3中的数据量很小,只需要有一个偏大/偏小的值就可能会导致两个分布均值不同,未必是因为非正态引起的。不过这种非考点的信息不需要去刻意关注,往往给的信息也不全。

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