Page 270, number 30: Protfolio A has a safety-first ratio of 1.3 with a threshold return of 2%, what is the shortfall risk for a target return of 2%? A 90.30% B 40.30% C 9.68% D 49.68% 我之前的题目大多都做对了，这是最后一道，但是做错了。 是已知：（X-2%)/sigma = 1.3 求z值小于-1.3的概率？ 那么这个 -1.3是如何得来呢？多谢大家啊。 答案是C 第二题是notes的Book 1, page 295, number 21: Jenny Fox evaluates managers who have a cross-sectional population standard deviation of returns of 8%. If returns are independent across managers, how large of a sample does Fox need so the standard deviation of samplemeans is 1.265%? A 6 B 7 C 30 D 40 答案是D， 做法是8%/square root of n = 1.265% square root of n = 8%/1.265% = 6.xxxx n = 40 但是8%/square root of n 这个应该叫standard error呀，为什么题目中叫它: standard deviation of sample means?我觉得这个叫法不对呀。 请教大家，多谢啊。
[此贴子已经被作者于2008-10-19 12:44:41编辑过] | 
发表于 2008-10-19 12:39
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