normal-distribution

  1. Nicole Seaman

    P1.T4.24.1. The efficient frontier and asset return distributions

    Learning objectives: Describe the mean-variance framework and the efficient frontier. Compare the normal distribution with the typical distribution of returns of risky financial assets such as equities. Questions: 24.1.1. Given a universe of investible (but risky) securities, Peter the analyst...
  2. Nicole Seaman

    P1.T2.21.4. Non-normal distributions and rank correlations

    Learning objectives: Explain how the Jarque-Bera test is used to determine whether returns are normally distributed. Describe the power law and its use for non-normal distributions. Define correlation and covariance and differentiate between correlation and dependence. Describe properties of...
    • Nicole Seaman
    • Thread
    • correlation covariance dependence jarque-bera-test non-normal-distributions normal-distribution one-factor-model power-law
    • Replies: 0
    • Forum: FRM® Practice Questions
  3. Nicole Seaman

    P1.T2.20.6. Common univariate random variables (normal, lognormal, chi-squared)

    Distinguish the key properties and identify the common occurrences of the following distributions: normal distribution, lognormal distribution, chi-squared distribution ... Questions: 20.6.1. A hedge fund's big data algorithm can predict the market's direction on five out of eight days...
  4. B

    Equity Prices

    Hi , Just have a curious question in mind , can we use normal distribution for finding out equity profits in future just like we use the same for calculating Var ? can't we analyse the tail on the profit end of normal distribution to find out average returns as we do in expected shortfall ? Is...
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