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世纪之龙5 · 2024年03月18日

没看懂题目什么意思

NO.PZ2016071602000009

问题如下:

The AT&T pension fund has 68%, or about $13 billion, invested in equities. Assume a normal distribution and volatility of 15% per annum. The fund measures absolute risk with a 95%, one-year VAR, which gives $3.2 billion. The pension plan wants to allocate this risk to two equity managers, each with the same VAR budget. Given that the correlation between managers is 0.5, the VAR budget for each should be

选项:

A.

$3.2 billion

B.

$2.4 billion

C.

$1.9 billion

D.

$1.6 billion

解释:

C is correct. Call x the risk budget allocation to each manager. This should be such that x2 + x2 + 2ρxx = $3.22. Solving for x1+1+2ρ\sqrt{1+1+2\rho}  =x 3\sqrt3 = $3.2, we find x = $1.85 billion. Answer a. is incorrect because it refers to the total VAR. Answer b. is incorrect because it assumes a correlation of zero. Answer d. is incorrect because it simply divides the $3.2 billion VAR by 2, which ignores diversification effects.

如题

1 个答案
已采纳答案

pzqa27 · 2024年03月19日

嗨,爱思考的PZer你好:


这个题问的是总风险是3.2,两个一样的人各自分多少。用到的是下图的公式,过程在解析里,算出来是1.85.

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