An analyst gathered the following information about the return distributions for two portfolios during the same time period:
Portfolio
Skewness
Kurtosis
A
-1.6
1.9
B
0.8
3.2
The analyst states that the distribution for portfolio A is more peaked than a normal distribution and that the distribution for Portfolio B has a long tail on the left side of the distribution. which of the following is correct?
a. The analyst's assessment is correct
b. The analyst's assessment is correct for Portfolio A and incorrect for B
c. The analyst's assessment is not correct for A but correct for B
d. The analyst's assessment is incorrect for both portfolios.
The answer is b. A has less kurtosis than normal distribution, which implies that it is more peaked.
Also, if you read the figure that I mentioned in post(pg32 in 6ed and pg36 in 5ed of handbook), you will find it shows-
Kurtosis <3 more peaked than normal distribution;
Kurtosis >3, less peaked.
This is what I really confused!作者: meghanjackson 时间: 2012-6-6 08:40
就没人知道吗？作者: luda002 时间: 2012-6-6 08:40
答案是b
Skewness 只用比较positive or negative sign 就可以了positive 就是skew to the right, long right hand tail(not fat tail)
Kurtosis 是用比较是比3大还是比3小， 数字越大，表示越flat，fat tail。
二楼的回答是错的作者: jonh 时间: 2012-6-6 08:40
比方说啊： PRM handbook（v2）-Math foundation of risk management p57说
"If the data were normally distributed, the momemt of coefficient of kurtosis would be 3.0; The computed index value is greater than 3, indicating that the return data in question are more peaked than normal distribution and therefore are leptokurtic. ...."
