NO.PZ2020011101000030
问题如下:
If returns are fat-tailed, and we instead assume that they are normally distributed, is the probability of a large loss over-or under-estimated?
解释:
We will underestimate the probability of a large loss because the normal has thin tails. For example, the probability of a loss from a normal is .003% (3 in 100,000). The probability of a loss from a standardized Student’s is .24% or 80 times more likely.
肥尾的分布,因为尾巴比较肥,所以比如同样倍数标准差的损失(解析用的4倍举例)对应的累积概率分布比正态分布要高。那应该是overestimate吧?累计概率更高