王暄_品职助教 · 2020年08月13日
嗨,从没放弃的小努力你好:
先看这段最后一句话“Patel agrees to a two-standard deviation approach to monitor the shortfall risk of the portfolio”,这句话就告诉我们,我们用两倍标准差来衡量shortfall risk,再结合D问上面三段文字中的第二段的 “Third, she would like her portfolio to have only a small probability of declining more than 11% (in nominal pre-tax terms) in any one year.”,我们得到最后的意思就是:Patel 不能接受比均值低两个标准差外的return,也就是老师写的公式:μ-2σ≧11%
-------------------------------就算太阳没有迎着我们而来,我们正在朝着它而去,加油!