Читать книгу The Investment Advisor Body of Knowledge + Test Bank - IMCA - Страница 32
CHAPTER 3
Statistics and Methods
Part VII Mathematics and Statistics for Financial Risk Management: Time Series Models
ОглавлениеLearning Objectives
■ Describe the concept of “random walks” and how it might apply to investment markets.
■ Explain autocorrelation as it relates to measuring risk/return and random walks.
■ Discuss why over-estimations and under-estimations of risk occur based on the assumptions a) that variance is linear in time and b) that no serial correlation exists.
