4886数理金融中等数值题short

Infer Second-Stratum Volatility From Target Neyman Share 21

题目

Two strata have population weights N1=0.6 and N2=0.4. Their standard deviations are sigma1=2 and sigma2=unknown. Under equal-cost Neyman allocation, the desk wants stratum 2 to receive 50% of the samples. What sigma2 is implied?

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