Garp 2012 Practice Exams - Question 6

FRM
#1

Hi folks,

Just wondering if in Garps explanation is a mistake. I would say the right solution is answer b as Portfolio A is more peaked than a normal distribution (kurtosis < 3 vs. kurtosis = 3), so the analysts assessment regarding Portfolio A is right, but wrong for Portfolio B.

What do you think?

Cheers,

Andoff

#2

A distribution that is more peaked than normal has kurtosis > 3, not < 3.