王同學(xué)
2018-10-24 20:39就是這個(gè)題目, 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
所屬：FRM Part II 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
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Crystal助教
2018-10-25 10:26
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