410140980 · 2023年07月01日
NO.PZ2020033001000024
问题如下：
If the assets in a portfolio are perfectly correlated, which of the following statements is correct ?
选项：
A.The portfolio VaR is equal to the sum of each asset's marginal VaR.
B.The portfolio VaR is equal to the undiversified VaR.
C.The portfolio VaR is equal to the diversified VaR.
D.There is diversification effect in this portfolio.
解释：
B is correct.
考点：分散化效果
解析：因为每个资产的相关性都是1，所以整体组合的VaR也就等于undiversified VaR，组合没有分散化效果。
老师A选项把marginal VaR改成CVaR是不是也对
NO.PZ2020033001000024 问题如下 If the assets in a portfolio are perfectly correlate whiof the following statements is corre? A.The portfolio Vis equto the sum of eaasset's marginVaR. B.The portfolio Vis equto the unversifieVaR. C.The portfolio Vis equto the versifieVaR. There is versification effein this portfolio. B is correct.考点分散化效果解析因为每个资产的相关性都是1，所以整体组合的VaR也就等于unversifieVaR，组合没有分散化效果。 相关系数为1，为什么不能选a
NO.PZ2020033001000024 当rho =1 时 versifiev不就等于 unversifievar吗 因为没有分散效果呀 perfecorrelate呀 C为啥不对？
NO.PZ2020033001000024 这道题的unver和ver-VAR的计算公式是什么，不记得了。。
如果答案寫成The portfolio Vis equto the sum of eaasset's VaR. 這句話對不對 其實還是沒有很懂，marginalVar和ComponentVar都是啥
