The most recent weight is the highest at (1-lambda); in this case, 1 - 85% = 15%. As successive weights have a constant proportion of lambda, the (t-2) weight = (1-lambda)*lambda; in this case, (1-85%)*85% = 12.75% | Financial Risk Manager Part 1 Quiz - LeetQuiz
Financial Risk Manager Part 1
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The most recent weight is the highest at (1-lambda); in this case, 1 - 85% = 15%. As successive weights have a constant proportion of lambda, the (t-2) weight = (1-lambda)*lambda; in this case, (1-85%)*85% = 12.75%