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"quantity"exercise:Fine peak distribution

来源: 正保会计网校 编辑:小鞠橘桔2020/12/18 10:51:38 字体:

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Questions 1:

Based on historical returns, a portfolio has a Sharpe ratio of 2.0. If the mean return to the portfolio is 20%, and the mean return to a risk-free asset is 4%, the standard deviation of return on the portfolio is closest to:

A、 12%.

B、 8%.

C、 10%.

Questions 2:

Which of the following most accurately describes a distribution that is more peaked than normal?

A、 Leptokurtic

B 、Mesokurtic

C 、Platykurtic

View answer resolution
【Answer to question 1】B

【analysis】

B is correct. The Sharpe ratio for a portfolio p, based on historical returns, is defined as

quantity exercise:Fine peak distribution

A is incorrect. It adds the risk-free rate rather than subtracting it: (20% + 4%)/2 = 12%.

C is incorrect. It fails to subtract the risk-free rate: (20%)/2 = 10%.

【Answer to question 2】A

【analysis】

A is correct. A distribution that is more peaked than normal is called leptokurtic.

B is incorrect. A distribution that is neither more peaked nor less peaked than normal is called mesokurtic.

C is incorrect. A distribution that is less peaked than normal is called platykurtic.

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