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我叫仙人涨 · 2022年03月13日

如果是volatility一般会是什么key words/怎么描述?

NO.PZ2019012201000073

问题如下:

In Fund 3’s latestquarterly report, Ap reads that Fund 3 implemented a new formal risk controlfor its forecasting model that constrains the predicted return distribution sothat no more than 60% of the deviations from the mean are negative.

Which risk measuredoes Fund 3’s new risk control explicitly constrain?

选项:

A.

Volatility

B.

Skewness

C.

Drawdown

解释:

Skewness measuresthe degree to which return expectations are non-normally distributed. If adistribution is positively skewed, the mean of the distribution is greater thanits median—more than half of the deviations from the mean are negative and lessthan half are positive—and the average magnitude of positive deviations islarger than the average magnitude of negative deviations. Negative skewindicates that that the mean of the distribution lies below its median, and theaverage magnitude of negative deviations is larger than the average magnitudeof positive deviations. Fund 3’s new risk control constrains its model’spredicted return distribution so that no more than 60% of the deviations fromthe mean are negative. This is an explicit constraint on skewness.

如果是volatility一般会是什么key words/怎么描述? 谢谢老师~ 我看到mean就想成了上下围绕mean波动就选了volatility... key words原来是return. distribution,分布最多是40%在negative side etc。。。

1 个答案

伯恩_品职助教 · 2022年03月13日

嗨,努力学习的PZer你好:


这个判断skewness是下面这句话,mean negative,即对称不均匀。

volatility的关键词是上下围绕一个均值来回变动

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