[求助]高手给讲讲题呗 level 1 standard, return, target, level, above

注金证

（1）

portfolio A has a safety-first ratio of 1.3 with a threshold return of 2%. What is a shortfall risk for a target return of 2%?

 

answer is 9.68%. 咋算地？

 

 

（2）

the probability that a normally distributed ramdon variable will be more than 2 standard deviations above its mean is ?

 

answer is 0.0228. 咋算地？

[此贴子已经被作者于2010-5-7 11:05:05编辑过]

XXchoo

1. [(E(r)-2%)/standard deviation]=z=1.3, z~N(0,1), so the answer is the one on the z-table for z=-1.3, which is 0.9068

 

 

2. the meaning of this question is P[(x-Ex)>2*(standard deviation)]= [(x-Ex)/(standard deviation)>2], for the same reasoning as no.1 question, the answer is the figure related to z=-2 from the z-table.

XXchoo

sorry, i made a mistake.  the figure related to z=-1.3 on the z-table is 0.0968, mistook it as 0.9068~~

注金证

QUOTE:

以下是引用XXchoo在2010-5-7 13:41:00的发言：

1. [(E(r)-2%)/standard deviation]=z=1.3, z~N(0,1), so the answer is the one on the z-table for z=-1.3, which is 0.9068

 

 

[(E(r)-2%)/standard deviation]=z=1.3, z~N(0,1), 这个我明白。 我题就看不大明白。 shortfall risk level of 2% 不是threshold return of 2%。 为什么是P(Z>1.3) 题目中没提到 》或 《？ 能解释一下吗？

0h00

考试时会提供Z表什么的么？

pavement

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