老师,我没有搞懂资产组合里面的A,B的权重,是不是就是7/11和4/11?但是A,B的VAR的权重,就是CCARa和CVARb的权重占比?CVARa/(CARa+CVARb)

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

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?

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

这题为啥权重都是0.5，题目里面不是没说？u不是不等于0，为什么最后直接就没有加上收益率？

这一题算单个var不用均值-波动率乘以分位点的绝对值吗

T检验的原假设不是发生这种alpha在是巧合的概率，t检验拒绝了原假设不是正好是题目中的声明吗。不是因该接受发生这种情况的概率为1%

C是anti value啊，哪里错了

老师，下面这个题答案解析中怎么说equity只有他自身一种影响因素呢？不是应该是多种因素吗？