准备 2014 Fall 的 ERM 考试
念到 ERM 105-12 http://ppt.cc/riRx page 2
Translation Invariance – For all random losses X and constants a.
ρ(X+α)= ρ(X) + α
但是看到 ERM 103-12 http://ppt.cc/gVk8 page 86
Translation invariance: adding to a portfolio an amount of cash invested in
the reference instrument reduces the risk measurement of this portfolio by the
same amount.
在 PAK 的 study mannual 中就被写成
ρ(X+α)= ρ(X) - α
让我看了有点困惑,究竟是哪一边才是正确的呢?
还是说其实 Translation Invariance 的 general form 是 ρ(X+α)= ρ(X) + α
ERM 103-12 只是刚好里面的 α< 0 所以变负的?
麻烦各位高人指点了,感谢