anonymous (anonymous) meinte am 16. May, 15:19:
Doesn't make sense
If for rho = 0.9, 2 out 20 are below 0, should it not be the case that for rho = 0.5, 10 out of 20 are below 0? Yet I do not see 10 out of 20 below 0. Explain, please.
Mahalanobis antwortete am 16. May, 18:12:
Huh?
Why should (1- rho) be the probability that the series is below zero after 300 days? Check the original story and keep in mind thatWr,t = zstandard normal*sqrt(t)
u.p <- 0.08
u.i <- 0.05
sd.p <- 0.25
sd.i <- 0.15
t <- 300
rho <- c(0,0.5,0.9)
u.r <- u.p - u.i + sd.i^2 - rho*sd.i*sd.p
sd.r <- sqrt(sd.p^2 + sd.i^2 - 2*rho*sd.p*sd.i)
pnorm((u.r - 0.5*sd.r^2)*sqrt(t)/sd.r)
Out: 0.7237735 0.7866116 0.9047849
So for rho = 0 (0.5) there is a 0.27622645 (0.21338837) chance that the series is below zero.
