Cfa - R4
Cfa - R4
Cfa - R4
Characteristics
cdf: F(x) = P(X ≤ x)
Discrete random variable
Binomial distribution
variable X where X is the number of successes in n Bernoulli trials
Binomial tree
Uniform distribution
pdf:
cdf:
Type something
Skewness = 0
Characteristics
Kurtosis = 3 and excess kurtosis = 0
0.5n(n – 1) pair-wise
correlations
Confidence intervals
Formula
Shortfall risk
Assumption
Application: Roy’s safety first criterion
Formula:
function:
Charatceristics:
Lognormal distribution useful for modeling asset prices
bounded from below by zero
which never take negative values
Student’s t-distribution df = n – 1