海同學(xué)
2021-04-28 18:44An analyst is studying a stock that is currently trading at $35. The analyst estimates that there is 33% probability that the stock will trade at $50 after one year, a 20% probability that the stock will trade at $42, and a 47% probability that the stock will trade at $20. What is the volatility of this stock return? 答案是方差=E(X^2)=15.46%，有點(diǎn)暈了，均值是E(X)，第二個(gè)不是E(X^2)=15.46%嗎？為什么用方差=E(X^2)-E(X)^2=15.46%-2%^2 算出來的波動(dòng)率會(huì)不一樣？
所屬：FRM Part I > Quantitative Analysis 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
Jenny助教
2021-04-29 11:43
該回答已被題主采納
同學(xué)你好，用你說的這個(gè)公式算出來的答案也是一樣的，方差大約是在15.46%左右，波動(dòng)率就是39.31%左右。詳細(xì)步驟見附圖，可以檢查一下自己是不是有哪個(gè)地方寫錯(cuò)了。
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