1846统计简单derivationshort
Residual After 2 Rebalances 1
题目
A residual spread follows X_(t+1) = 2/3 X_t + epsilon_(t+1) with E[epsilon_(t+1)] = 0. If today's residual is 9 bp, what is E[X_2 | X_0 = 9 bp]?
解题计时
0:00
提交作答时记录，用于后续平均用时统计。
你的答案
题目
A residual spread follows X_(t+1) = 2/3 X_t + epsilon_(t+1) with E[epsilon_(t+1)] = 0. If today's residual is 9 bp, what is E[X_2 | X_0 = 9 bp]?
解题计时
0:00
提交作答时记录，用于后续平均用时统计。
你的答案