Is "x" a random variable or a realization of a random variable (i.e. specific point)? If the former, then the relationship you quote is always true as the distribution of x is flipped like in a mirror, looking at the distribution of random variable x' = -x. If x is a specific point in the...
See my post above for a rough estimate of difficulty judging by concepts. Also it’s worth checking his textbook (downloadable for free) to gauge your level of comfort. In addition to concepts the certification emphasizes hands-on coding. Any mathematical background is recommended.
Hi @Nicole Seaman!
Cool, thank you very much for the prize! Glad to be of help. I'll get the Amazon gift card please. And congratulations on passing the 50,000 forum members mark this week...!
-berrymucho
You’re supposed to download the series of articles constituting the Current Issues (“part 5”) on your own directly from the GARP website. You’ll find practice questions for this part specifically if you subscribed with a preparation provider.
I wanted to share this pointer I received from GARP last week, as a morale booster for everyone hard at work and also as a motivation for aspiring candidates. In short, this study commissioned by GARP concludes that the FRM certification is comparable to a Master's degree in major education...
I don't know the details of the specific example you're referring to so let me assume a normal distribution instead of a t-distribution with the appropriate degrees of freedom (as you know they get close after ~30 data points). A t-stat = (x_hat-mu)/s_x_hat = 0.54 indicates that the estimated...
Say for testing a true mean greater than a value of mu, the null hypothesis you're seeking to reject is H0: mean < mu, or equivalently, H0: mean-mu < 0. That is, you want to use the lookup table for a single sided test. One-sided testing is for "greater/lower than" questions, two-sided testing...
Thanks for the update on this question. As to the level of infrastructure/development of the FRM program — in particular the books being a collection of textbook chapters and articles — I like to think of it as part of "what it takes" (the mystique) to get the FRM certification. It certainly...
For context, I attended the ARPM Bootcamp in 2015: 6 days, 8am-6pm intensive course + practice sessions. I did not take the certificate. I don't think there's yet a demand/recognition specifically for the ARPM certificate but from the development I've seen in the past couple of years, the...
There might be some reporting bias... not everyone is comfortable talking about their experience, or just simply don't remember the details as clearly. And seeing a group of peers agreeing on their answers might even be less of an incentive to share that you got a different answer. However, the...
Not sure whether the slides appeared back-to-back in the original material, both are correct, but the notation is different. If you pay attention in slide 1 the bivariate correlated variables are E1 and E2, with Z1 and Z2 the univariate independent random variables, where the letter Z is...
The F-stat is the appropriate one to test the null hypothesis that all variables are =0 simultaneously, the alternative being that at least one variable is not null. Using the t-stat for each variable in turn would be too loose: for 2 variables at 95% level individually, the chance of having at...
This question is a straight application of the formula giving the "structure" of alphas (in a forecast, based on the skills of a manager) from the Grinold and Kahn (G&K) chapter that is "thrown" in the curriculum without much context, unfortunately. If you accept the formula the question is easy...
The only information that is provided for the exam is the Z-table. Don't expect any (full) formula to be provided. But in the spirit of the top post, most formulas make sense once the individual terms are well understood... Given the volume though, it is a good practice to jot them down a couple...
@gargi.adhikari ,
It looks like you may actually be asking for the linkage between "internally consistent" and the mathematical expression "w'×Cov×w≥0", more than the meaning of positive-definiteness itself perhaps. To my knowledge "internally consistent" means "w'×Cov×w≥0" by definition as it...
Hi @David Harper CFA FRM , @gargi.adhikari,
Yes, I was thinking similarly about the description, in words, of what non-semi-positive-defineteness would mean in an example. Let's take a 2 assets portfolio with a covariance matrix given by [{0.3 -0.5},{-0.5 0.2}]. It's symmetric, and the...
Basically, this is a requirement to guarantee that the variance of a portfolio remains non-negative (i.e. ≥0), since the variance of a portfolio is calculated as Var(P) = w' × Cov × w. In this case the w's are the asset allocation weights (adding up to 1) but in all generality they can be scaled...
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