这题的答案是错的。 12.5%- 1.645*a= 2.4/14 1.645*a= - 0.04643 a= - 2.8% 答案解析中，把公式写成了 a*1.645 - 12.5%， 符号弄错了。

22.单选题 收藏 标记 纠错 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 performance 95% of the time due to her skill? A t = 2.50; reject the null hypothesis; reject her claim. B t = 2.50; reject the null hypothesis; accept her claim. C t = 2.05; fail to reject the null hypothesis; accept her claim. D t = 2.05; reject the null hypothesis; accept her claim. 这道题到底是用单尾检验还是双尾检验 如果检验T统计量是否区别于零的话不是应该用双尾检验么 为什么答案给的跟单尾95%1.645去比而不是用双尾95%1.96比？

既然beta代表相关性，为什么在构建资产组合的时候不考虑相关性呢？

答案明显错了……，题干是14.3，答案写成13.4…………

我之前做VAR题目的时候，组合VAR不是都要乘以Weight的吗？怎么现在这块题目都不乘以weight了？

这题算组合VAR的时候为什么又不需要乘以weight了？？

想问下课件中计算incremental var 用的等式中用的是MVaR乘以W 这个W是指什么？它和计算CVaR中MVaR乘的V有什么区别？

如果总体的话肯定是有分散效应的，但是这道题问的是组合中单个资产的component var 和individual var 的区别啊，就组合里的单个资产怎么会有分散化的效应？

老师，选项c的 anti-value strategy 是怎么样的策略？

计算得到的标准差为2.73%，和答案不符