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Part I
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Quantitative Analysis
Quantitative Analysis
Medium
A portfolio's daily returns have excess kurtosis of 5 and skewness of -0.6. Using the Cornish-Fisher expansion, the adjusted z-score at the 99% confidence level (standard z = -2.326) is closest to:
A
-3.17
B
-2.33
C
-2.80
D
-1.96
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Tags
#cornish-fisher
#kurtosis
#skewness
#var-adjustment
#fat-tails
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