R
Rioch
Member
I know they give marks for every reasonable point, and there are many "right" answers, but I disagree with the following point the examiners make on Q1:
"Many candidates failed to note the two main points...that distinguishing between updise and downside risk is, in most circulmstances, not a particularly useful concept for stochastic modelling".
I would have differently - if you are using an empirical distribution, OK, but if you are fitting, are you going to fit the model and/or parametres giving equal weight to all points of the distribution, or are you going to give more weight to how the model fits the "below average" points? e.g. use semi-variance rather than variance.
Is my thinking off?
Thanks,
"Many candidates failed to note the two main points...that distinguishing between updise and downside risk is, in most circulmstances, not a particularly useful concept for stochastic modelling".
I would have differently - if you are using an empirical distribution, OK, but if you are fitting, are you going to fit the model and/or parametres giving equal weight to all points of the distribution, or are you going to give more weight to how the model fits the "below average" points? e.g. use semi-variance rather than variance.
Is my thinking off?
Thanks,