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Quant Interview Practice Questions

专题
Probability & Statistics
难度
L3
来源
MyntBit

题目详情

Your team employs a model where asset returns are assumed to follow a stable distribution with index α<2\alpha < 2. Recall that stable distributions are characterized by four parameters: location, scale, skewness and index (also called characteristic exponent). What fundamental assumption of Modern Portfolio Theory (MPT) is most significantly violated when asset returns follow such a distribution?