还有这个题目,如果他的believes后面给出的仅仅只是一个置信区间,那么145页那道题目就不应该选择ACCEPT. 这几个题目长得都一样,但是答案选择不一样,烦请老师释疑. Based upon 60 monthly returns, you estimate an actively managed portfolio alpha of 1.28% and a standard error of alpha of 0.1365%. The portfolio manager wants to get due credit for producing positive alpha and believes that the probability of observing such a large alpha by chance is only 1%. Calculate the t-statistic, and state whether you would accept or reject the claim made by the portfolio manager based on the estimated t-value. A t-statistic: 9.377; Conclusion: Accept B t-statistic: 9.377; Conclusion: Reject

就是这个题目, Based on 60 monthly returns, you estimate an actively managed portfolio alpha = 1.24% and standard error of alpha = 0.1278%. The portfolio manager wants to get due credit for producing positive alpha and believes that the probability of observing such a large alpha by chance is only 1%. Calculate the t-statistic, and based on the estimated t-value would you accept (or reject) the claim made by the portfolio manager. A t = 9.70, accept

为什么B选项不对呢？

这个题目和书本上,基础班讲义,145页的题目是一样的,那个题目里面,老师讲,需要选择ACCEPT,因为问的是CLAIM,这里的解释怎么相反了呢.何去何从?

从老师的讲解来看,C答案和A答案不是一个意思吗?

老师,这个题目使用公式可以解释吗?没有听懂,也没有看懂,用CAPM公式怎么也推不出来这个结论阿

我的计算过程哪里有错误吗？答案不一致

75题我想问下A选项和D选项，A选项课件上有原文说了抵押物不能完全覆盖敞口，D选项答案的意思我没太懂，难道不是我买了CDS把我自己的风险敞口转移出去就行了？为什么还要考虑write CDS的institution？

老师，想问下marginal probability不就是前面几年不违约，最后一年违约的概率吗？比如第二年的marginal probability不是第一年不违约，第二年违约的概率吗？所以这题为什么不是选择C

老师，想问下计算WCL会将损失数据排序，然后取累计概率大于置信水平的分位点，那排序的时候是只排损失数据还是所有的数据?像这里的112,应该是收益，也要参与排序吗？