题目 Assume we conduct a multivariate regression with based on a sample of 32 observations (n=32). The regression produces four regression coefficients, an intercept plus three partial slope [...]
题目 Asset 1 has correlation of 0.5 with asset 2. A portfolio with equal weights of these two assets has a standard deviation of 13. The standard deviation of asset 2 is 19.50. What is the [...]
题目 If n is very large and p is small, the Poisson distribution may be used to approximate the binomial distribution with: 选项 A.\u03bb=np B.\u03bb=np(1-p) C.\u03bb=n\/p D.\u03bb=n\u221ap [...]
题目 If the probability of a manager outperforming the median manager is determined to be 58%, the number of quarters over the next three years that the manager is expected to outperform the median [...]
题目 The following joint probability matrix captures the relationship between Inflation (which can be either Down, Steady or Up) and the Market (which can be either Bear, Range-bound, or [...]
题目 Your staff has determined that your 95% daily VaR model is perfectly accurate: on any given day, the probability that the loss exceeds VaR is 5%. What is the probability that next month, which [...]
题目 Assume the annual returns of Fund A are normally distributed with a mean and standard deviation of 10%. The annual returns of Fund B are also normally distributed, but with a mean and standard [...]
题目 Monte Carlo simulation is not suitable for pricing options in which of the following cases? 选项 A.An Asian option on a stock market index (payoff based on average stock price). B.A lookback [...]
题目 For two random variables (possibly dependent), X and Y, an upper bound on the covariance of X and Y is: 选项 A.σ_X σ_Y B.0 C.1 D.there is no upper bound unless the variables are [...]
题目 Which type of distribution produces the lowest probability for a variable that have a specified extreme value assuming the distributions have the same mean and variance? 选项 A.A leptokurtic [...]
