FRM一级强化段定量分析（标准版）.docx

该【FRM一级强化段定量分析（标准版） 】是由【经管专家】上传分享，文档一共【149】页，该文档可以免费在线阅读，需要了解更多关于【FRM一级强化段定量分析（标准版） 】的内容，可以使用淘豆网的站内搜索功能，选择自己适合的文档，以下文字是截取该文章内的部分文字，如需要获得完整电子版，请下载此文档到您的设备，方便您编辑和打印。QuantitativeAnalysisFRM一级培训讲义-强化班Framework??FundamentalsofProbabilityRandomVariablesandbasicstatistics?????DistributionHypothesisTestingLinearRegressionTimeSeriesMeasuringReturns,VolatilityandCorrelation?SimulationandBootstrapping2-150FundamentalsofProbability3-??AxiomsofProbabilitylllAnyeventAintheeventspacehasPA≥0(PrA≥0).,PA∪A=PA+:xuebajun888slplementmustbe1CCPA∪A=PA+PA=1lposedinto:PA∪B=PA+PB?PA∩B4-??UnconditionalProbability(MarginalProbability)lTheprobabilityofaneventwithoutanyrestrictions(orlackinganypriorinformation),commonlyknownasP(A).,conditionalonEventA,isgivenbyP(A∩B)PBA=;PA>0P(A)?JointprobabilitylP(A∩B)isthejointprobability,-??Independentevents(orunconditionalindependentevents):lIftheevent(B)isnotinfluencedbywhethertheotherevent(A)occurs,thenwesaythoseeventsareindependent,∩B=P(A)×P(B)ConditionalindependencelLikeprobability,independencecanberedefinedtoholdconditionalonanotherevent(C),twoeventsAandBareconditionallyindependentif:PA∩BC=PAC×PBClNotethattwotypesofindependence—unconditionalandconditional—donotimplyeachother.üEventscanbebothunconditionallydependentandconditionallyindependent.üEventscanbeindependent,-?TotalProbabilityFormulaIfaneventAmustresultinoneofthemutuallyexclusiveevents?,?,l12?3,……,??,then??=????|?+????|?+...+????|?1122??…A11?∩?=?(?≠?)A2???(2)???=Ω…?=1A37-’rule??Specifically,’.??∩???|???|?==×??????posteriorprobabilitypriorprobability8-’rule?Example:%%%ofallfundmanagersareexcellentmanagersandtheremaining80%-’rule?Questions:?购课后务必加唯一售后微信:?.Whatistheprobabilitythatthenewmanagerwillbeatthemarketnextyear,giventhatthenewmanageroutperformedthemarketthelastthreeyears?TIPS:P(O):(E):(A):-150