edwin
2023-03-15 15:22null hp a=0能在解釋一下為何是拒絕基金經(jīng)理的claim嗎?
所屬:FRM Part II > Risk Management and Investment Management 視頻位置 相關(guān)試題
來(lái)源: 視頻位置 相關(guān)試題
1個(gè)回答
Michael助教
2023-03-21 14:51
該回答已被題主采納
學(xué)員你好。
先看到經(jīng)理的claim:claims to have consistently produced excessive returns (over and above the benchmark returns) 99% of the time due to her skill and not luck,簡(jiǎn)單說(shuō)就是他覺(jué)得他厲害;
然后檢驗(yàn)統(tǒng)計(jì)量是2.04說(shuō)明不能拒絕原假設(shè)(alpha=0),說(shuō)明alpha等于0很有可能性,那么他的聲稱是有問(wèn)題的,所以要拒絕基金經(jīng)理的claim。
