195065
Beschreibung
Mindmap von Paul Dawson, aktualisiert more than 1 year ago
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Erstellt von Paul Dawson
vor etwa 11 Jahre
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standard deviation
- calculation:
Anmerkungen:
- * obtain the arithmetic mean * obtain the set of deviations from the mean * square each deviation * divide the sum of the squared deviations by the number of observations to obtain the population variance * take the square root of the variance to obtain the standard deviation
- represents the average amount by which the values in the distribution deviate from the arithmetic mean
- normal distributions
- 68.26% - two thirds within one standard deviation
- 95.5% of all observations within two standard deviations
- 99.75% of all observations within three standard deviations of the mean
- 68.26% - two thirds within one standard deviation
- limitation
- actual returns are not neatly/symmetrically dispersed
- most long-run distributions of equity returns are positively skewed
- most long-run distributions of equity returns are positively skewed
- actual returns are not neatly/symmetrically dispersed
- The most commonly used method to quantify risk
- Measures how widely dispersed are the possible outcomes around the mean expected outcome
- measures non-systemic risk
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