题目
A portfolio has a mean value of $60 million and a daily standard deviation of $8 million. Assuming that the portfolio values are normally distributed, the lowest value that the portfolio will fall to over the next five days and within 99% probability is:
选项
A.$4.5 million
B.$13.84 million
C.$30.6 million
D.$42.1 million
答案
B
解析
Given that the daily standard deviation is $8 million, .「huixue_img/importSubject/1564169386707783680.png」Given that the returns are normally distributed, we know that 99% of the outcomes will be above 2.58 standard deviations below the mean, 60-2.58×17.89=13.84假设每日标准差为800万美元，。 鉴于收益呈正态分布，我们有99％自信，结果将高于或低于均值60-2.58×17.89 = 13±2.58（标准偏差）