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Mengooo · 2018年07月31日

问一道题:NO.PZ2016071602000009 [ FRM II ]

问题如下图:

选项:

A.

B.

C.

D.

解释:

这道题用的什么公式呢?没看懂为什么根号下变成了1

3 个答案

李坏_品职助教 · 2024年09月23日

嗨,爱思考的PZer你好:


根据这个方程, x^2 * (1 + 1 + 2ρ) = 3.2^2 ,

由于ρ=0.5,

所以x^2 = 3.2^2 / (1+1+1) = 3.4133,

所以x = 1.85



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Rachel杏怡 · 2024年09月23日

题目

老师, 想问一下 , 答案里的那个 X 提了出来 在更号外 , 为啥不能直接等于1 呢 ? 因为 X 不是等于 1 吗 ? 我不是很理解

orange品职答疑助手 · 2018年07月31日

同学你好,答案这里有个换行,它x和后面的根式是连着的,即它把x从根号里提出来了

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NO.PZ2016071602000009问题如下The T pension funh68%, or about $13 billion, investein equities. Assume a normstribution anvolatility of 15% per annum. The funmeasures absolute risk with a 95%, one-yeVAR, whigives $3.2 billion. The pension plwants to allocate this risk to two equity managers, eawith the same Vbuet. Given ththe correlation between managers is 0.5, the Vbuet for eashoulbeA.$3.2 billionB.$2.4 billionC.$1.9 billion$1.6 billionC is correct. Call x the risk buet allocation to eamanager. This shoulsuthx2 + x2 + 2ρxx = $3.22. Solving for x1+1+2ρ\sqrt{1+1+2\rho}1+1+2ρ​ =x 3\sqrt33​ = $3.2, we finx = $1.85 billion. Answer is incorrebecause it refers to the totVAR. Answer is incorrebecause it assumes a correlation of zero. Answer is incorrebecause it simply vis the $3.2 billion V2, whiignores versification effects.老师, 想问一下 , 答案里的那个 X 提了出来 在更号外 , 为啥不能直接等于1 呢 ? 因为 X 不是等于 1 吗 ? 我不是很理解

2024-09-23 12:44 1 · 回答

NO.PZ2016071602000009 问题如下 The T pension funh68%, or about $13 billion, investein equities. Assume a normstribution anvolatility of 15% per annum. The funmeasures absolute risk with a 95%, one-yeVAR, whigives $3.2 billion. The pension plwants to allocate this risk to two equity managers, eawith the same Vbuet. Given ththe correlation between managers is 0.5, the Vbuet for eashoul A.$3.2 billion B.$2.4 billion C.$1.9 billion $1.6 billion C is correct. Call x the risk buet allocation to eamanager. This shoulsuthx2 + x2 + 2ρxx = $3.22. Solving for x1+1+2ρ\sqrt{1+1+2\rho}1+1+2ρ​ =x 3\sqrt33​ = $3.2, we finx = $1.85 billion. Answer is incorrebecause it refers to the totVAR. Answer is incorrebecause it assumes a correlation of zero. Answer is incorrebecause it simply vis the $3.2 billion V2, whiignores versification effects. 如题

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