1851统计简单essayshort

Cumulative Mean-Reversion Carry 1

题目

A desk is short a positive residual and books one unit of carry each day equal to that day's expected residual. If X_(t+1) = 3/4 X_t + epsilon_(t+1) with zero-mean shocks and X_0 = 12 bp, what is the total expected carry over the next 3 days?

解题计时

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提交作答时记录，用于后续平均用时统计。

你的答案

数值

只填写数值本身，单位 bp 已固定在输入框右侧。