準備 2014 Fall 的 ERM 考試
念到 ERM 105-12 http://ppt.cc/riRx page 2
Translation Invariance – For all random losses X and constants a.
ρ(X+α)= ρ(X) + α
但是看到 ERM 103-12 http://ppt.cc/gVk8 page 86
Translation invariance: adding to a portfolio an amount of cash invested in
the reference instrument reduces the risk measurement of this portfolio by the
same amount.
在 PAK 的 study mannual 中就被寫成
ρ(X+α)= ρ(X) - α
讓我看了有點困惑，究竟是哪一邊才是正確的呢？
還是說其實 Translation Invariance 的 general form 是 ρ(X+α)= ρ(X) + α
ERM 103-12 只是剛好裡面的 α< 0 所以變負的？
麻煩各位高人指點了，感謝
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念到 ERM 105-12 http://ppt.cc/riRx page 2
Translation Invariance – For all random losses X and constants a.
ρ(X+α)= ρ(X) + α
但是看到 ERM 103-12 http://ppt.cc/gVk8 page 86
Translation invariance: adding to a portfolio an amount of cash invested in
the reference instrument reduces the risk measurement of this portfolio by the
same amount.
在 PAK 的 study mannual 中就被寫成
ρ(X+α)= ρ(X) - α
讓我看了有點困惑，究竟是哪一邊才是正確的呢？
還是說其實 Translation Invariance 的 general form 是 ρ(X+α)= ρ(X) + α
ERM 103-12 只是剛好裡面的 α< 0 所以變負的？
麻煩各位高人指點了，感謝
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