答案和详解如下： Q1. A stock portfolio has had a historical average annual return of 12% and a standard deviation of 20%. The returns are normally distributed. The range –27.2 to 51.2% describes a: A) 68% confidence interval. B) 99% confidence interval. C) 95% confidence interval. Correct answer is C) The upper limit of the range, 51.2%, is (51.2 − 12) = 39.2 / 20 = 1.96 standard deviations above the mean of 12. The lower limit of the range is (12 − (-27.2)) = 39.2 / 20 = 1.96 standard deviations below the mean of 12. A 95% confidence level is defined by a range 1.96 standard deviations above and below the mean. Q2. A stock portfolio's returns are normally distributed. It has had a mean annual return of 25% with a standard deviation of 40%. The probability of a return between -41% and 91% is closest to: A) 65%. B) 95%. C) 90%. Correct answer is C) A 90% confidence level includes the range between plus and minus 1.65 standard deviations from the mean. (91 − 25) / 40 = 1.65 and (-41 − 25) / 40 = -1.65. Q3. For a normal distribution, what approximate percentage of the observations fall within ±3 standard deviation of the mean? A) 66%. B) 99%. C) 95%. Correct answer is B) For normal distributions, approximately 99% of the observations fall within ±3 standard deviations of the mean. | 
发表于 2009-1-9 10:29
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