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FRM二级

FRM二级

包含FRM二级传统在线课程、通关课程及试题相关提问答疑;

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这题为什么不是拒绝原假设但接受claim

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11题跟第6题一样 题目问的不是reject or accept his claim 吗?不应该是reject the null and accept his claim 吗?求解答,很费解

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第6题 这一题不应该是reject the null but accept his claim 吗?还是我理解错了?

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这一题不应该是reject the null but accept his claim 吗?还是我理解错了?

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An investment manager is given the task of beating a benchmark. Hence the risk should be measured A In terms of loss relative to the initial investment B In terms of loss relative to the expected portfolio value C In terms of loss relative to the benchmark D In terms of loss attributed to the benchmark 老师您好!能举个例子说明一下D选项为什么是绝对衡量指标吗?

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这道题中说the probability of observing such a large alpha by chance is only 1%,是不是理解成投资者认为极大的超额收益偶然出现的概率只有1%?如果是这样,原假设是不是应该是alpha≠0?

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A portfolio manager produced an alpha of 2.5% based on monthly returns over a 6 year period. Under the assumption of a normal distribution, the portfolio manager claims that the probability of observing such a large alpha by chance is only 1%. To test her claim, one would use a t-test using which level of confidence? 老师您好!我想问一下,就是这道题里他说观测到很大的α,是指单尾的1%还是双尾的1%。我认为是单尾的,所以在进行假设检验找临界值的时候,应该找98%的两个临界值。这样两边各留出1%,才能判断原假设:“α=0”是否是正确的。

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John, a portfolio manager, claims to have consistently produced excessive returns (over and above the benchmark returns) 97.5% of the time due to her skill and not luck. To support her claim, she presents regression results based on 60 monthly observations as follows: alpha = 0.43%, standard error of alpha = 0.21% Would you reject the null hypothesis of true α = 0 and accept her claim of superior... 老师您好!我想问一下,这道题到底置信区间是多少?他说97.5%的概率下,他的优异表现是源自于能力不是运气。我的理解是,他的表现好,那么应该是单尾的97.5%,而右侧的尾巴是2.5%,而不看亏损的一侧。做假设检验时,95%的置信区间恰好表示了左右两边各2.5%的情况,因此,置信区间应该是-1.96到1.96。

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这一题答案是不是错的?视频讲解的公式列出来没问题,但最后解析里的数据应该是14.3%而不是13.4%

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C怎么错le

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